It's good to be skeptical of any claims that are extreme, and "Kinzhals have never been shot down" seems like a strong claim, like you would expect by simple random chance that one might eventually get shot down. However, I distinctly remember the 'Kinzhal shootdown' story, so I present you these images.

This is what a Kinzhal looks like strapped to a Russian plane

This is the 'shot down Kinzhal' presented to the media by a high ranking Ukrainian official (I forget his name)

Bonus: Another 'Kinzhal' Ukraine claimed to have shot down two months later

(It's the same one)