Some captains and warchiefs in Middle-earth: Shadow of Mordor are invulnerable to everything. That is they are combat masters (can’t be damaged by melee), invulnerable to stealth and ranged and may also be invulnerable to a number of other things like explosions and fire.

Do fire arrows damage captains and warchiefs invulnerable to ranged: http://wp.me/p1SfP0-1OH
Getting better and epic runes from captains and warchiefs: http://wp.me/p1SfP0-1Oy
All Shadow of Mordor Guides: http://wp.me/P1SfP0-1OQ

Killing Warchiefs and Captions that are Invulnerable to Everything

No captains or warchiefs are invulnerable to being attacked by converted orcs. Simply use combat mark to convert orcs to your side and get them to kill the captains and warchiefs that are invulnerable to everything.