My players want to fight him and I'm not sure how to stat him :/ I don't wanna say there is no way they can kill him however unlikely it may be.

There was a lengthy and controversial discussion here .

The bottom line was that it comes down entirely to what you and your group feel he should be like in your interpretation of the setting, with the options ranging from "slightly better CSM with superior gear and experience" (a la GW stats) to "unkillable superhero because plot".

Indeed. Regardless of situation, he's not invulnerable per se and shouldn't be. The main reason you'll have trouble killing him (aside from terminator armour and being stabbed back) is the 150 infamy; that's more than enough to justify 'certain death' escapes if you wish it.

In his case it's likely to be terminator chosen barrelling in to the fight and distracting you whilst he's dragged/teleported to safety, but regardless; he's not immune to gunfire - he's just tough, smart, and has probably the largest personally sworn army in the whole 40k setting.