These Creatures are immune to many elements, however, they can be damaged by weapons that have been enchanted or come with natural enchantments such as a Fire Axe or a Fire Sword. They are not weak to Holy Damage, unlike most other undead creatures.
Use Full Defense mode and shoot runes at them as they are immune to almost all weapons because they use Physical Damage, except some Wands, Rods and enchanted weapons. They travel slowly, so running from them is not difficult. A good strategy for knights hunting in tombs (where it's common with ghosts) is to bring a fire sword/axe or another enchanted weapon, that way you don't need to waste any Runes.