Ethereal enemies don't take damage from anything except Magical damage. This is mentioned in Singleplayer level 6 but it may be worth reiterating with some sort of message from the birdhouse later on too if they just waltz by.

Good counters are builds that rely on abilities that deal a ton of magic damage like Volcano, Fire Elemental, Corpse Flower, etc. Item-wise you can grab a Reality Shard or Riftbinder to allow your normal attacks to deal magic damage. Another counter is the Cosmic Entity's Nullify ability since it straight up removes whatever specialty a wave has.

I suggest a full magic build with buffs from support towers to enable counters on evasion and other issues. Using auras as counters on main towers are awesome. Ethereal are the easiest to take down and even even on harder difficulties full magic builds will annihilate them quickly.