Although he can attack during the Blade Fury, the attacks do no damage to most targets.
Therefore the ancients don't take damage when you use Blade fury on them because they are magic immune and your physical attacks are doing no damage.
Roshan on the other hand has 75% magic resistance as well as a fair amount of health regeneration, making Blade Fury do minimal damage.
Although Blade Fury doesn't make your physical attacks totally useless while in Blade Fury, if you have an orb effect (a unique attack modifier) such as Eye of Skadi, the slow from the orb will still be applied to them. However, be aware of orbs that are also blocked by magic immunity (such as Chain Lightning from Maelstorm or Mjollnir).
A list of orbs that go through magic immunity:
- Desolator's Corruption
- Eye of Skadi's Cold Attack
- Any lifesteal (although if you're doing no damage this won't really help you)
- Orb of Venom's Poison Attack
And for completeness sake, there are two other orbs that go through magic immunity:
- Lone Druid's Spirit Bear's Entangling Claws
- Ursa'a Fury Swipes
Furthermore, I said that it will make your attacks do no damage against most targets, however there are some exceptions to this. If the target is a structure (towers, Undying's tombstone), mechanical unit (catapults), or a ward, then they will take normal damage as if you weren't in Blade Fury.