Clojure's immutable types mean just that—the values are immutable (e.g., in CL you could do (defvar x 42) (setf x 84), but in Clojure the equivalent is not allowed).

But there are many more side effects than changing variables. Clojure makes no guarantees that a given function is referentially transparent, nor does it promise that a given function doesn't write to stdout/stderr, read from stdin, change the file system, make a network connection, send missiles to foreign countries, etcetera.