tl;dr: We really don't know, and we probably never will. Lucifer's comment is too vague and open to interpretation to be of any real use.
I go into a lot of details about this in my answer on Sci-Fi & Fantasy, but the short answer is, we just don't have enough information to pin down the exact list that Lucifer is talking about.
Lucifer actually tells Dean that there are five "things in all of creation" that cannot be killed by the Colt. Based on what we knew at the time, I think most people assumed he was talking about God and the four archangels (Michael, Lucifer, Raphael, and Gabriel). Unfortunately, there are some problems with this theory:
- It seems odd that Lucifer would include God in his count of things that are "part of creation"; if God created everything he would logically be outside of creation.
- We already knew about the Four Horsemen and how powerful they are. Death, in particular, is implied to be even stronger than the archangels, so logically we'd expect him to be immune.
- In the subsequent seasons, we get introduced to a litany of creatures that are seemingly more powerful than the archangels, including the Leviathans, Eve, and The Darkness, all of which we'd want to put on that list.
The big problem here is that Lucifer's only clues are that there five of them and they are part of creation. Does he mean five individuals, or five groups? Does "the archangels" count as one thing, or 4? And do God, The Darkness, etc. qualify as being "in creation" or not?
Unless we get something more definitive -- and I am really, strongly confident we won't -- Lucifer's comment is going to remain a mystery.