Ultimately, the real answer depends on how well aware the marines are of the creature's capabilities. If they go into battle in full knowledge of what they're up against, then virtually all of the mythical creatures you can think of will be pretty easy to deal with -- they all have their weaknesses. On the other hand, if you try to tackle a beast without knowing that it's invulnerable to your puny projectile weapons, then you're going to take heavy casualties before beating a hasty retreat.
The other thing to take note of is collateral damage. Not just civilians, but also property. You stated that the monsters show up in the middle of a city; a major military assault in that kind of environment is going to destroy a lot of valuable real-estate, even if there aren't any actual people around to get injured or killed (and your troops may not be aware of that either). This could cause your guys to pull their punches; they're not going to just throw everything at it unless they feel they have to, which gives your monster time to fight back.
That said, here are some of my thoughts of things that could stand up to a modern military assault.
Yeah, I know, it's a modern franchise rather than a genuine mythical creature (they are pre-2000's though, so hopefully meets your requirements), but those guys certainly can take out major military hardware without any repercussions.
Yes. Those Aliens. Again, another modern franchise rather than mythical (but again pre-2000's), but they did pretty much exactly what you're asking for here: took on a full assault from a well-equipped military in an urban environment and totally dominated them.
Okay, I know there are plenty of different concepts of what these guys are and what they're capable of, but think about it: they're demonic beings, with authority from Hell itself to do anything and the capabilities to match. Oh, and no physical vulnerabilities at all. If you take it at face value, military might is just not going to stop them. You need an exorcist (and presumably a pretty good one at that, if things are bad enough to be sending in an entire combat unit). But if the army doesn't realise that, then they are going to get totally wiped out.
Kinda the other side of the coin to the above. I'm not sure what a bunch of angels would be doing that would cause humanity to want to launch a military assault against them though? Perhaps there is some evil that they've been sent to deal with? Perhaps that evil is secretly supported by major political groups or individuals who don't want to lose their power?