Even though a creature might have multiple Wounds there are plenty of weapons in the 41st Millennium that are powerful enough to kill instantly. If a creature is wounded by something that has a Strength value that is double its Toughness or greater it is killed outright and immediately removed. It can be imagined they are vapourised, burned to a pile of ash, torn limb from limb or otherwise mortally slain in a suitably graphic fashion.
EXAMPLE: A Space Marine commander is Toughness 4 and has 2 Wounds. Normally they could survive being wounded twice before being removed as a casualty. However, if they were to have the misfortune to be hit by a Krak missile (Strength 8 - normally used for knocking out battle tanks) they would become a casualty immediately because the missile's Strength is double their Toughness - they just isn't that tough!