As outlined here Reducto Blasts solid objects out of the caster's path. Why couldn't wizards use this on the Dementors? What made them immune to this, why was the Patronus charm specific to dementors? What attributes of a magical being makes it impervious to certain spells and charms?
I don't know that it's directly stated, but it's implied that they are immune to most physical force, possibly only being partially corporeal themselves.
In The Prisoner of Azkaban, Remus Lupin states that there are ways to fight them, (the implication being that there are few ways... and those are not simple, or for some other reason hard to use.)
“There are — certain defenses one can use,” said Lupin.
and this is backed up by a Potter/Snape argument.. Stealing from the Harry Potter wiki:
There may be another, more common way of repelling a dementor, aside from the Patronus Charm, as Harry Potter disagreed with Professor Snape on the best method for confronting one when it was the subject of a report in his sixth year.2 This implies that there are indeed other methods, which seems even more likely given that most Dark Wizards are apparently unable (or unwilling) to produce a Patronus.
Given the mindset Rowling had when writing about them, I think she meant them to be immune to anything but varients on 'Happy Thoughts', like the Patronus, or the temp-resurrected family Harry later uses. (Things that you would use to drive off depression.)
She described them and depression as:
"absence of being able to envisage that you will ever be cheerful again. The absence of hope. That very deadened feeling, which is so very different from feeling sad."
I'd take this to mean that she really meant them to be depression made corporeal, with the side effects of depression (loss of will, suicide (loss of soul), etc.) being extended to them as magical abilities.