Jake does get a few rounds fired off at the Thanator, however, it does have heavy armor. In the end battle scene, I noticed that Quaritch uses a knife to the ribs to dispatch the thanator, seeing how vicious it was in the first place, I'm surprised he was able to get the better of it, but I guess wearing an AMP suit does give him an edge.
I remembering reading the part on the thanator in the Survival Guide regarding that it's only weak points are around the respritory system. And rewatching the film, I realized that the thanator literally steals Jake's gun right out of his hands in the first attack scene; that's one smart creature.

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