Good question-- and the answer is we don't really know for sure, with the information given. I will say that Deviations was a big old bit of foreshadowing. We've since gone on to show that the Pantheon can be hurt on the astral plan (City of Rats arc).
This isn't a canon answer, we'll reserve that for on the printed page. But I read 'immortal' for the pantheon much like in the vampire sense: they won't die of natural causes, but there are things that can hurt and kill them.
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