[@Crimson Raven] - He's got a really thick/dense skull. 

[@Prince of Seraphs] - That's what [i]you[/i] think. Plus don't forget he carries explosive live ammunition on him via his belt. He's already demonstrated in the past that he isn't above taking a hit to his Aura by blowing himself and the surrounding area up. Though he wouldn't make it a habit, of course.

No one likes being blown-up/lit on fire.