The War Zone reports, “A French Navy helicopter used machine gun fire to shoot down a Houthi drone over the Red Sea today.”
This is a potential Coast Guard capability, given its airborne use of force capability includes a door mounted rifle caliber machine gun, though I do not know if every Coast Guard Air Station has qualified gunners. The .50 caliber sniper rifle included in the package might even be more effective than the machine gun.
I am not suggesting the Coast Guard send helicopters to the Red Sea, but when the Coast Guard provides protection for vessels transiting to sea, it has generally been done with small boats with crew served rifle caliber machine guns. Ballistic Missile submarines have been an exception. They may be escorted by 82 foot patrol boats with .50 caliber machine guns in remote weapon stations. Perhaps the Coast Guard should consider providing an armed helicopter overwatch. An armed helicopter could be effective against hostile surface systems as well as air systems.

Petty Officer 2nd Class Anthony Phillips, a precision marksman at Helicopter Interdiction Tactical Squadron, displays the weaponry used by a HITRON during missions, February 23, 2010. US Coast Guard/Petty Officer 1st Class Bobby Nash
Below is a video taken by the French helicopter (an AS565 Panther, similar to the Coast Guard’s H-65s) as it shoots down the drone.
A US Navy helicopter demonstrated this capability over eight years ago. It is certainly less expensive than bringing down a drone with a missile. On the other hand, I would not want to be in a helicopter near a drone if the Navy decides to use a missile to destroy the drone.

When I originally published this, I made an error, using the same video twice. I have replaced the last one with the video I had intended to use showing an earlier test where a US Navy door gunner shot down a target drone.
German Navy Helicopter Destroys Houthi Drone Boat | The War Zone (twz.com)
Old style military primary trainer used for counter drone ops. Yak-52 Kill Marks Hint At Success In Ukraine’s Drone War (twz.com)
May be being flown by Ukraine equivalent of Civil Air Patrol or CG Aux.
The Airborne Us of Force package looks almost ideal for this.
Ultralight Drone Hunting Planes Now In Use In Ukraine (twz.com)
Navy MH-60 Seahawk Helicopter Has Shot Down Its First Drone