I didn't RTFM, but drone defense has been a high priority for the Pentagon and they've been rapidly testing and developing various options.
A big challenge is doing it cost-effectively, AFAIK. Legacy anti-air technology is designed for shooting down airplanes and uses missiles that may cost 100-1000x the drone; it's not affordable to build missiles to shoot down all of an enemy's drones. I've seen reports of sniper rifles, lasers (less than $1 marginal cost per shot, reportedly), electromagnetic weapons that fry the drone's electronics, old-fashioned anti-aircraft guns, etc.
Not only can drones carry explosives, but apparently the Russians very effectively use drones as artillery spotters in Ukraine, and it's not just a battlefield problem: What happens when someone targets a drone at major public events or at VIPs such as the U.S. President? How do you stop it?