What do you mean? Like shooting the armor on a Hellbug Warrior or something?
That's like saying why does a frag greande do little dmg to hell bugs when the grenade is 3000+, yet Incendiary's work so well to stun Hell Bug Warrior's to make them leave their mouth open for crit attacks. Different tools better suited for different enemies.
A lot of guns don't do high dmg against hellbugs.