Is there a proof that "undetectable" malware cannot be written?
For every malware, there exists some detector that will detect it.  (For instance, given a specific malware $M$, consider the detector that just checks whether its input is $M$ or not, and if it is, outputs "malicious".)

Conversely, Cohen's result shows that for every detector that classifies all benign samples correctly, there exists some malware that it won't detect.

So, there is an unavoidable arms race, if you want to try to detect malware statically.