Ukraine has been trying really really hard to properly defend against Russian drones and still struggle with it. That is during war time with a lot of resources spend and mostly in a war zone, with less civilian risk. During peace time this becomes a lot harder. Shooting down birds is not a good idea for example. Electronic counter measures are not a decent option either, since radio communication is used for a lot of civilian applications. It for example would require turning of the mobile internet. That is not to mention the number of police officers required to reasonably protect every potential target.
This is not to say that police should not have anti drone options. They are clearly needed to protect large events for example. But it is impossible to protect everything. The real solution is to take out hostile actors before they do something like this. In this case that means helping Ukraine.