An RPGnet thread on a one-shot featuring the Devil rather than a demon or other not-as-big-deal supernatural threat, in the style of modern stories where the Devil plays a role directly, got me thinking.
“How do you shoot the Devil in the back? What if you miss?”
How do you feature something PCs will want to oppose but can’t fight?
There are various tricks to stop fighty PCs attacking a Big Bad before a final confrontation, but how to get across that there's no way to win a fight at all, and they have to try a different tack? Without annoying players of combative PCs?
Here, it’s invoking genre. By the time the PCs cotton on that this is the Devil we’re dealing with, they’ve had a rough and scary time already and should be feeling pretty powerless and afeared. Of course, that only works if the players let it.
This might be a time to fall back on exposition. If the Wise Old Man who has been right about everything else looks up and fearfully whispers “This foe is beyond any of you...” they might actually believe him.
If all else fails, have Ol’ Nick do something blatantly supernatural with a casual air about it.
And if it still doesn’t work, remember, End Of Days was pretty fun too.