Normally, the verb defeat cannot be applied to challenge, and the phrase seems like a semantic mistake: you can defeat an opponent, but you can beat a challenge.
But there's a character who's over-confident, vain, loves fanfare and isn't the type of person who would concern themselves with grammar too much. To a native speaker's ear, does it feel believable that he would call a challenge he created “undefeatable” just to emphasize his own greatness, or does this just sound plain wrong no matter what?