Why don't the Borg use some sort of projectile/beam weapon on their drones? When in a ranged battle the Borg drones can't do much more than walk to their enemy, it seems like a stun beam would be more effective.
Every time we see the Borg in combat in the show, their greatest strength is of course their adaptability. Even phasers set to modular frequencies are only effective for a few shots. Borg drones simply don't need ranged weaponry, since they are protected by nearly impenetrable shields which immediately adapt to any weapon that makes it through.
Given the number of Borg drones that exist even on just one Borg cube, losing one drone in order to make every single other drone immune to that weapon seems a trivial loss.
Finally, the Borg don't have much use for ground fighting. We only ever see the Federation going toe to toe with Drones when either A) The drones are coming onto a federation ship for a SPECIFIC MISSION or B) The Federation beams over to a Borg cube. In either of these situations, even without weapons, the Borg are such a physical threat + near invulnerable shields that they simply have no need for a ranged weapon.
EDIT: Upon conferring with a fellow Trekkie, it's also important to remember that the Borg's entire focus is assimilation of other civilizations rather than the destruction of them. A phaser rifle has no use for the Borg, because it does not further those goals. Hard to assimilate something that's been disintegrated.
If you mean 'The Borg' as in the Collective itself, as far as I know, you're correct. But there was one instance where a group of liberated Borg (led by Hugh from TNG 5x23 "I, Borg") had disruptor modules (citing TNG 6x26, TNG 7x01: "Descent" (Parts I and II)).