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The drone was shot down by Italian troops stationed at the NATO air base in Šiauliai using Eurofighter jets.
Military police, regular police and other emergency services were dispatched to the crash site, where they recovered debris overnight, the Lithuanian military said.
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Warnings of a possible air threat were initially sent to residents of Vilnius and the surrounding district, as well as the Trakai and Elektrėnai districts. The warning was later extended to the Kaunas region as the drone continued westward. The alerts were subsequently cancelled.
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The solution exists: 30mm programmable munition. You basically have bullets that are programmed as they are fired to explode right next to the drone. Paired with a radar they can shoot down anything in the range of couple kilometers and the cost is just that of the bullets. https://en.wikipedia.org/wiki/Airburst_round
The problem is that to secure the border you need to basically put one of those every couple kilometers. AFAIK Germany is making some of them but for example Poland has the license to build them but is not making any at the moment. Spain is making some armored vehicles with 30mm guns compatible with programmable munition. I’m sure other countries are building/buying those systems but on a NATO scale there’s not enough of them. It was clear that those will be needed for couple of years now but as usual, military is very slow to react to things like that.
Just got an update from some exhibition in Spain: https://www.infodefensa.com/texto-diario/mostrar/6014463/arquimea-expone-unvex-interceptor-multicapa-tabano-neutralizar-drones-sobre-vehiculo-4x4?amp%3Butm_medium=email&%3Butm_campaign=Newsletter+www.infodefensa.com
So they are working on different systems but it will take years to build enough of them.