Dungeons and Dragons - Memes and Comics

Keith Baker has a good take on this. Werewolf physical immunity doesn't mean that swords and arrows just bounce off of them. It means that the magic which created them lets them keep fighting despite receiving grievous wounds. They get cut, bleed, but don't die. His house rule is that massive amounts of nonmagical damage which clearly must destroy the werewolf's body do kill it. So a werewolf doesn't take fall damage per se. If it falls far enough to break bones, it still just gets back up and the DM gets to describe how gruesome seeing it move is. If it falls far enough to splatter, it's dead.

Edit: Also, werewolves should be used as horror-movie antagonists rather than simply units in a wargame if the players are facing them without magic weapons. That means less focus on the rules as written and more focus on what makes for a good horror movie. The werewolf is hunting the players for sport. They should quickly be shown that they can't kill it by conventional means, but they should also be able to slow it down long enough to escape so that it can keep hunting them. If they push it off a roof and break its legs, that should given them time to run away. If they stay and watch instead, they'll see some unseen force twisting its broken bones back into place and it will suffer no mechanical penalty after falling.