"There's nothing in the universe cold steel won't cut," answered Conan. "I threw my ax at the demon, and he took no hurt, but I might have missed in the dusk, or a branch deflected its flight. I'm not going out of my way looking for devils; but I wouldn't step out of my path to let one go by."
A nice line and essential to the Riddle of Steel. There is so much about the whole conceptual background of Howards stories in it, adressing the relationship between mortals and the supernatural, the meaning of courage, and the power of humans.
However, in the original D&D rules, it is not the case. There are plenty of beings which steel will not cut. Many supernatural creatures require at least silver or even magical weapons, which is carried over into AS&SH, and it takes a 4th level spell to temporarily charge a normal weapon with magic. There are plenty of situations, in which a common mortal, how strong and courageous he might be, is just completely unable to stand against a magical monster in any way.
I am a bit conflicted on how to deal with this in my campaign. In many ways it makes sense that a sword won't do anything against a wraith or a demon.
But it also seems to very appropriate that nothing is ever fully impossible and no enemy invincible. It may be suicidal to try fighting them, but anything being outright invincible to human might doesn't seem right.