As KHW says, it's highly unlikely that there is (or ever will be) a canon answer to your question.
The SCP (Secure, Contain, Protect) website contains a series of single page Flash-Fiction stories, usually with some kind of photo-manipulated picture as an illustration. Although some of the "inmates" and objects contained within are the subject of fan-fiction, these short stories rarely give much insight into the precise characteristics, tending more towards short horror fiction.
As far as your question goes, the in-universe description indicates that it is made of
"concrete and rebar with traces of Krylon brand spray paint"
which would seem to indicate that it is susceptible to physical damage.
Out of universe, the statue (which inspired the creation of the SCP website) was originally made by sculptor Izumi Kato. It is called "Untitled" and is constructed of wood, charcoal and acrylic rather than concrete.