Models struck and wounded in close combat can attempt an Armour Save to avoid becoming casualties. Models usually get to save regardless of the attacker's Strength, but some especially monstrous creatures and powerful close combat weapons will punch straight through armour.
Note that cover provides no extra protection in close combat as it does against shooting. Remember that invulnerable models are allowed to make Invulnerable Save throws even where Armour Saves would not normally be allowed. If the rules for a weapon or attack states that no Armour Saves are allowed, then only an Invulnerable Save may be made, if available.