While there are many good reasons here, I thought I might add a few of my own. These are ideas I've used myself in more realistic story ideas, where magic meets the modern world.
1. They're too fast/durable
No one uses guns against superheros, and why is that? Because superhumans are too fast or too tough for bullets to work-sometimes, even both apply! Assuming monsters are magically enhanced, and that a weapon has to be of equal or greater magical power to wound a monster, guns just won't work.
Maybe the amount of magic containable in an item is limited by size; bullets are too small to hold the power needed for slaying a dragon, but can be used to kill the smallest kinds of magical vermin, like rat swarms or mutant bugs.
Or maybe magic can only activate and become useful when contacted by a living thing, which gives the magic purpose and direction. Without it, magic is like a hammer lying on the ground; useless until someone picks it up and makes a use for it. Bullets and other projectiles just can't 'hold on' to their given directive long enough after being activated to be useful.
2. Magic shields the monster
Magic is an extension of the creature who owns it, right? So that magical field will try to protect its owner, making every battle a literal grapple with supernatural force. Bullets and missiles simply can't tear through the flow and distortion of energy around the monster, anymore than a bullet can ignore winds between them and the target.
However, if one is up close and personal, with a weapon falling under one's personal influence, the Monster Field's influence is practically negated, as one can more effectively resist the efforts of the interfering magic. It's not magic per se, just physics!
3. Humans Have No Say in The Matter
Why did Irish respect the powers of the Fey, despite knowing they were weak to iron? Because the fairies were tricky and HAD POWER BEYOND THEIR OWN. Humans can't use magic, right? So, if magic is an extension of the user, and can be used to influence the world around them (turning heat in breath into fire for a dragon, or resisting gravity so an owlbear can fly), then the magic-users have a say in the way things work that WE DON'T HAVE.
It's like having no say in politics; the magical creatures are using their combined influence to manipulate physics to prevent the humans from overpowering them, much like how samurai once forbid the use of firearms so their swords and armor wouldn't become useless. They can't alter reality completely, but they can bend and twist and nudge enough to make guns useless against them.
But, this is good as well. Because what if humans have a similar influence? What if being from a nonmagical world allows us to somewhat negate magic around us? So just like we can find ways to work around or take advantage of natural laws, we can find ways to negate or twist magic? What if magical fields don't affect weapons within a human's small field of influence? What if glyphs and runes are still effective if broken, unless a human does the breaking?
Anyway, I hope these ideas help. Your idea is interesting, and I'm excited to see what you come up with!