Weapons cannot cut it. Fire cannot burn it. Water cannot wet it. Wind cannot dry it. Four elements of the physical world — each powerful, each capable of transforming matter — and none of them can reach the soul. Krishna speaks with the rhythm of a declaration, each phrase closing another door on the possibility of the soul's destruction.
This is especially pointed for Arjuna, the archer. His entire identity is built around the power of his weapons. He has celestial arrows that can summon fire, water, and wind. And Krishna is telling him: none of those arrows can touch the soul. Your most powerful weapons are powerless against what truly matters. The Gandiva bow that defines you cannot harm what defines your opponents.
The beauty of this shloka is its completeness. Earth (represented by weapons forged from it), fire, water, wind — the four great elements cover the entire material world. If none of them can affect the soul, then nothing physical can. The soul exists in a category that material force simply cannot enter.