What do you mean? There's a ton of counterplay! They're practically built on counterplay. They have very short range, they don't last long, and Azir is highly dependent on them.
For champs like Heimer and Zyra, the minions are killable because killing them is a form of counterplay that they need. Heimer can drop turrets with long range that last forever, then wander off and do his own thing with rockets or grenades. Zyra can put down plants at great distances, and on top of that she can force you to stay in their range by rooting you. Azir can't place soldiers very far away, he can't move them very freely (just with his Q, and that moves ALL of them to one location), they don't last very long, and he can't do anything without them (and vice versa).
Granted, if he plays well and manages to trap you in soldier range or stack a couple of them on top of you, you're going to take a lot of damage. But he pays out the BUTT for that. If you could just stand back and peg his soldiers in the face to kill them even quicker than they'd naturally vanish, he'd be a worthless champ.