The simple solution is penetration. Another is return effects. Assassin was mentioned, and there are other cards with this effect. There are also cards that set defense to 0. There may be others I'm not thinking of, but it's not immortality, especially if you can set its DF to 0, then it's just a way to drain the opponent's SP.
But no argument that if you don't have those options, it's annoying
. Luckily a person I was once dueling had a sphinx as his last soul card whentrying this combo (It was with the stronger undying unit, though).