They're not quite immortal. Either decapitation or bisection will kill them (and any other nonbleeding inorganic titans).
Bronze colossi are tough for several reasons. The first is that you have to use something stronger than bronze to even hurt them. A multilegendary adventurer couldn't touch a colossus with his exceptional bronze axe, but an ordinary steel axe (obtained from a dwarf comrade) allowed him to slice'n'dice it very nicely.
The second problem is that weapons have a hardcoded limit to what size of body parts they can remove, based on their contact area and similar. This is the property that stops arrows from slicing off anything larger than a finger, and similar. A human-sized axe capable of wounding a bronze colossus will allow you to remove its feet, hands, ears, and nose. However, since bronze colossi do not bleed or feel pain, this will not massively inconvenience it (it will be reduced to crawling, slowing it, and will use its "push" attack rather than punching, but it will survive).
The problem here is that there is no method for, say, repeatedly chopping at the colossus's neck with an axe like someone felling a tree to achieve the lethal decapitation. If a weapon isn't large enough remove its head or bisect it in one blow, it won't do it, period. After messing around with some modding, a human-sized axe with ten times the normal "contact area" value (Buster Axe!) could remove arms and legs from the colossus. I'm not sure if it could achieve a killing strike, but I didn't see it happen. One twenty times larger than normal, however, quickly decapitated the monster, killing it.
Ideally, this could be fixed in vanilla DF by putting in some sort of system where multiple wounds to the same part add their "effective contact area" together in order to allow lumberjack-style kills on the more resilient enemies.
Another hint: don't use full slade armor. It's so insanely heavy that they'll barely be able to move (even a controllable bronze colossus had his speed highly reduced by full slade armor), and they'll get their asses kicked. Use adamantine for armor instead, with a single slade weapon.