Immune to anything is too broad. According to that statement a person could strap onto the back of a rocket and blast into space, no burns, no feeling of lightheadedness from thin air, no lack of pressure on the body to be felt. The person could weigh themselves down and sink to the bottom of the ocean without threat of pain. However, on the flipside of this the person wouldn't be able to feel if they got touched, they wouldn't be able to get a tan or smell the shampoo of a girl. There is an upside and a downside to everything.