This is why they are immune to all threats: They WANT to be martyred.

https://www.iranchamber.com/religions/articles/martyrdom_in_shii.php

Such passages as these provide much of the rationale for a further theological position: not only does a martyr in the cause of God enter paradise, but he does so automatically--his admission is guaranteed.[4] Many hadith elaborate on this theme, such as this from Sahih Bukhari:

Allah's Apostle said, "Someone came to me from my Lord and gave me the news that if any of my followers dies worshipping none along with Allah, he will enter Paradise." I asked, "Even if he committed adultery and theft?" He replied, "Even if he committed adultery and theft." (Volume 2, Book 23, Number 329)[5]

Further rewards, as reported by hadith, are that the fighter in God's cause will, if killed in the struggle, receive privileges otherwise unattainable: he escapes the examination in the grave by the "interrogating angels"; he does not need to pass through barzakh, the purgatory limbo; he receives the highest of ranks in paradise, sitting near the throne of God--Muhammad described the "house of martyrs," dar al-shuhada', as the most beautiful abode of paradise; on the Day of Judgment any wounds the martyr received in battle will shine and smell like musk; his death as a martyr frees him of all sin such that he does not require the intercession of the Prophet; he is purified by his act and so he alone is not washed before burial.[6] The popular understanding of the Quranic descriptions of this paradise for the believer (martyr or not) could not but be of the greatest appeal to the desert-dwelling nomad: awaiting him is a garden of cool breezes, beautiful companions, couches, fruit and drink, and nearness to God. Particularly deserving martyrs are even eligible for double the standard reward, some hadith report.[7] This is an incentive so great that the Prophet is reported to have said that no one who dies and enters paradise "would wish to come back to this world," even if he were to be given ownership of "the whole world and whatever is in it," except the martyr who, "on seeing the superiority of martyrdom, would like to come back to the world and get killed again."[8] Finally, the martyr enacts the greatest act of worship possible for a human, for only he, the shahid, witnesses to, shahida, God Himself.