Every monster in every season has had much more trouble dealing with fire than with bullets. Seems like bullets never put things from the other dimension down for good. Appeared confirmed again in Russia when loads of Russian guards with guns can't do much against these monsters but Hopper and crew with a flame thrower crisp the whole lot. It seemed like the obvious admonition when Hopper is very excited about finding the flame thrower.
In fact, this last season appeared to insinuate that the upside down creatures can even resurrect or something, when you see all the dead bodies of the demi-gorgons (sp?) in tanks have come back to life.
Funny that you felt that way because the whole time they were prepping to take on the boss dude I kept thinking, I hope they have a flame thrower or something. Molotov cocktails made perfect sense to me based on past seasons and this one.