Lethal damage, damage from a source with deathtouch, and effects that say "destroy" won't cause a creature with indestructible to be put into the graveyard. However, a creature with indestructible can be put into the graveyard for a number of reasons. The most likely reasons are if it's sacrificed or if its toughness is 0 or less. (In these cases, of course, Darksteel Colossus would be shuffled into its owner's library instead of being put into its owner's graveyard.)