He's immune to magic last I checked, though I haven't played FF lately so I could be thinking of RifE...
Edit: I opened up FF, and contrary to what UNIT 666 said, FF Loki is unable to engage in combat and magic immune just like RifE Loki. I do not know if this applies to ranged combat, but I believe you're intended to kill him by destroying the Balseraph civ. This is supported by his hero created popup, which suggests that he cannot die. Testing it with World Builder, ranged attacks cannot be targeted on him either.
-CF