If we're talking like, actual animals, and not some of the more animal-like humanoids (e.g. minotaurs, who IIRC have a weakness to it), I'm pretty sure immunity to pheromone damage is because no bestiality. Even if that weren't an issue, you could still justify such an immunity because pheromones are typically species-specific, meaning if you can't reproduce with them (assuming you both have the appropriate genitals and fertility levels, of course) your pheromones can't affect them.