Multiple factors, especially early war made them a huge challenge.

1. Was that they flew so high that early war aircraft either couldn't reach them, or took so long to get there they would have already dropped their bombs and be leaving by then. While early AA batteries had the same challenge with primitive fire control and limited effective ranges.

2. They did their best to be hard to attack, in the attacks on London for instance it was very common to attack at night, making intercept all the more difficult.

3. if you just punch a hole in it, it won't do much. Not only are the insides compartmentalized much like a ship, but a regular bullet isn't gonna do much, it might create a few sparks if it hits the frame but not gonna cause an explosion. It was only later with the development of incendiary ammunition that the danger increased.

For all this though when weather or other concerns forced Zeppelins to operate at lower altitudes they did suffer losses even in the early going of the war, particular on the continent when they sought to support the armies more directly. Almost half the Army's force of airships was gone by the end of 1914 though new construction was accelerated, and the Navy retained a very sizeable fleet.

In the early days Zeppelin and plane technology was closely matched, with the Zeppelins having a slight edge, but by the end of WWI that turned around.

Zeppelins could fly higher than planes initially, so it was easy to avoid them. Moreover, Zeppelins had tremendous lift capacities compared to planes. A typical military Zeppelin might have half a dozen, or even 10 machine guns on it, each individually manned. Imagine taking a tiny little slow flying paper and wood airplane up against such a thing, it's a daunting prospect.

Meanwhile, keep in mind that in the early years air defense didn't have the benefit of radar or radio based coordinated defense.

Additionally, you may think that a big bag of flammable gas would be easy to destroy, but that's not actually the case. If you shoot a bullet through a Zeppelin's Hydrogen cell you'll just cause a slow leak. It took the invention of special incendiary and explosive rounds to gain the upper hand on Zeppelins.

Eventually planes gained the ability to fly high enough to engage Zeppelins effectively and had the weapons to take them down. This mostly counteracted the few advantages Zeppelins had and revealed their inherent weaknesses (slowness, large size, fragility, etc.) After only a few engagements during WWI where Zeppelins were downed they stopped being used aggressively in offensive bombing operations.