When Maze launches a dagger at Lucifer to see if it will cut him, it bounces harmlessly off his chest and lands directly in front of the toes of his left foot. In the following shot, the dagger is now several inches to the right of his foot without him having a reason or opportunity to move it.
Maze and Lucifer test various blades to see if they will hurt him. He states iron doesn't. However, in the Bible, the Lord and his Angels are vulnerable to iron. As Lucifer is an angel, he'd be vulnerable to iron.
However, while populated with characters inspired by Christian theology, both the show "Lucifer" and the graphic novel series which inspired the show have their own internal mythologies. The DC/Warner Bros Lucifer and his angelic siblings are not literal, direct representations of biblical beings, nor are they meant to be. Hence, in the show, Lucifer, other angels, demons, and even humans can have different abilities and restrictions within those mythologies, up to and including angels being invulnerable to iron.
However, while populated with characters inspired by Christian theology, both the show "Lucifer" and the graphic novel series which inspired the show have their own internal mythologies. The DC/Warner Bros Lucifer and his angelic siblings are not literal, direct representations of biblical beings, nor are they meant to be. Hence, in the show, Lucifer, other angels, demons, and even humans can have different abilities and restrictions within those mythologies, up to and including angels being invulnerable to iron.
When Chloe convinces Lucifer to join her at a crime scene, he keeps his distance from her as they approach the scene. Lucifer tells Chloe that he's staying back because she "sounds phlegm-y," which is a lie; throughout the series, it is stated that Lucifer does not lie.