None ? in fact the reverse is true. Pigeon may have dense plumage, but it is soft and a single stray pellet may be sufficient to dislodge a feather or two, giving the impression that the bird has been hard hit.
Proof of this comes from the ease with which a pigeon can be plucked.
I can recall some pigeon shooters recommending large shot sizes ? fives or even fours ? for dealing with woodpigeon, but for decoying an open-barrelled gun firing No. 7 shot is likely to be as effective as anything else.
Incidentally, no bird has plumage capable of deflecting a shotgun pellet fired from a range of 40 yards or less.