they were no doubt far tougher than mortal arrows. In the past arrows from Heimdall have destroyed fighter jets in one shot. They are weapons meant to kill beings with much greater durability than normal humans. So I think it does make some sense for them to pierce Hulk's skin.
...the Hulk is a lot more invulnerable than a jet. When the Hulk invaded Asgard in the 60's, Hogun tossed the Hulk a weapon and the Hulk vaporized the weapon of Asgardian metal with a mere handclap! I guess that's why the scene bothered me. Is Asgardian metal less impressive than arrows from Olympus? I see what you're saying, though.