I just died few minutes back by magnataur though i used ghost scepter in time. Why is that so ?
The official page doesn't specifically tell us anything, except that the damage from cleave is reduced by armor, and not by magic resistence.
Thus, we can conclude that the damage done is physical, thereby not affecting units in the Ghost form.
If somehow they do damage them, it's just a bug and should be fixed in the upcoming patches.
EDIT: Confirmed. P.S.