They
do have indefinite integrals, it's just that those indefinite integrals cannot be written using the tools that are most commonly used to define functions, which are:
- arithmetic functions ##\times,+,-,\div##
- exponential, log and trig functions
- parentheses
- cases (eg ##f(x)=0## if ##x<0## otherwise ##1##)
After choosing a set of tools like this, call it S, we can recursively define a class E of functions that can be defined in a finite sequence of symbols using tools from S. then the statement you want to make about f not having an indefinite integral is that
'there is no function in E whose derivative is f'.
Note that the class E varies according to the tools we allow. The function ##f(x)=e^{-x^2/2}## has no indefinite integral in the class E based on tools in the four bullet points above, but if we add the function ##\Phi## which is used to denote the cumulative distribution function of the standard normal distribution, to the toolbox, then ##f## does have an indefinite integral, which is the set of functions ##\{g:\mathbb R\to\mathbb R\ :\ g(x)=\Phi(x)\sqrt{2\pi}+C,\ C\in\mathbb R\}##.
The gamma function ##\Gamma## is another example of a tool that might be added. IIRC it is an indefinite integral that is not expressible using the tools in the four bullets above. Various Bessel functions might be other examples.
For any class of functions E and function f such that there is no indefinite integral of f in E, we can define a new class E* that is constructed from the toolbox of E together with the indefinite integral of f.