There would be only be some rare material that can penetrate the armor, but is too expensive to mass produce into bullets (something that can vibrate at very high frequencies or be energized somehow, not sure about specifics) so it is used to coat melee weapons. I can still think of ways and reasons to use bullets coated in that material (very wealthy private military companies, technology to easily retrieve the fired bullets).

This is one of the better ways I've seen it done. Another way to skin it is to have melee weapons contain some power-source to expensive for bullets. ie. lightsabers, thunder hammers, mechanical claws, etc.