Wait, WHAT?! You mean the glowing state in which they can teleport? It makes them immune? Are you sure? Or do you mean the biotic barrier? Either way, I've never seen / noticed Banshees being immune to any kind of damage.
It`s already been aswered, but I`ll go ahead anyway. When they teleport, they take damage from everything. When they stop, either due to damage, or by themself, if you fire a projectile power at it, they will raise the hand (if they stop on there own, you can get in 1 or 2 before the hand comes up) When they raise the hand, a black aura becomes visiable around them. In this state they they block all projectile powers and melee. But are set up for double hits with weapons.
Hitscan powers like reave ignores this, so if you are a reave spaming justicar f.eks, just keep at it.
If you are say the asari adept, you can`t prime and detonate when they are in this state ( and they won`t pick you up and give you a hole in the stomach, so that`s something) Walk close enough and it will do it`s nova blast attack and scream, then usualy start teleporting again, and is ready for a primer. they also drop the blocking barrier after some time, if left alone.
You can use this to take a banshee very fast, if you have drill or ap4 or double pierce mods on a gun.
Asari adept as example again, arc pistol with drill 3. warp, then detonate with throw.
Most cases the banshee now stops. start spaming throw at it, it will even cancel the warp ball animation(and the warp ball attack itself to bring up the hand) shot with charged arc pistol for some heavy damage double hits, while you send out throws every time she start to do the warp ball animation, this will lock it into a loop of doing nothing but canceling it`s attack, and usualy you take it down before it desides to just scream and start teleporting at you again.