Where the are drilling, next to the keypad is usually some kind of thin sheet metal or plastic or combination. The 'top' part of the ATM (which houses the PC running it, the cables and a bunch of other electronics) is usually extremely insecure (wafer locks you can pick, flimsy construction).
The hardened part of the ATM is only the safe (which, by design, actually has several large holes in it as well). You won't be casually drilling through the safe with a hole-saw or other portable equipment without spending a considerable amount of time.