They are daemons - that alone makes them extremely dangerous and resilient already. To clarify, chaos daemons are created from tiny bits of the power and essence of a chaos god at the respective god's whim, which inadverently causes them to also take on aspects/habits of their gods and also tends to give them a certain amount of supernatural daemonic powers. Similarly, they return to their god again if they die or their god wants them to, effectively rendering daemons infinite in supply. The only thing you can really do against them is to beat them temporarily and then go and close the gate with which they actually enter the material world. The problem is that that gate does not necessarily have to be a physical structure - it could be a powerful psychic individual or a severely desecrated and corrupted region of land, for example.
In short, daemons can be so overpowering in raw power and sheer numbers that there is nothing else left for the Imperium to do but to destroy/sterilize an entire planet. That is what they call an "exterminatus". Naturally, Imperial forces try everything to not having to resort to such extreme measures...
http://wh40k.lexicanum.com/wiki/Exterminatus