According to the rules for invisible creatures and the invisibility spell itself, objects the creature picks up while invisible would remain visible unless they were tucked into a pouch or pocket (where you wouldn't normally be able to see them even if the creature were visible), so the arrow should at least mark the creature's square for you (you'll still suffer the miss chance for attacking an invisible creature, but won't have to guess the square).

Note that while you said you were fighting a demon, I'm thinking there's a decent chance it's actually an imp or zebub, both types of devils. They're both small in size and have invisibility as an at-will power - so the creature can spend a single standard action to become invisible again on its next turn, and then a move action to move to a new square so you'll have no clue where it is again.

According to the rules for invisible creatures and the invisibility spell itself, objects the creature picks up while invisible would remain visible unless they were tucked into a pouch or pocket (where you wouldn't normally be able to see them even if the creature were visible), so the arrow should at least mark the creature's square for you (you'll still suffer the miss chance for attacking an invisible creature, but won't have to guess the square).

Many small demons and devils, including quasits, imps, and zebubs have invisibility as an at-will power - so the creature can spend a single standard action to become invisible again on its next turn, and then a move action to move to a new square so you'll have no clue where it is again. Or, even more economically, he could pull the arrow out as a move action (unless it's one of the arrow types that embed in the target) and drop it as a free action...