It doesn't show the health bar or anything, but it's still possible to attack us while we are in mist form. We take reduced damage, but still take damage.
It's also possible to tab-lock onto us if you can do it between Mist casts. The tab-lock will continue through the Mist transformation.
"If you want others to be happy, practice compassion. If you want to be happy, practice compassion." -- the 14th Dalai Lama Wisdom is doing Now that which benefits you later.