The Dutch military fired on drones. However, they are all over Europe and generally not shot down for various reasons. First, shooting at them can be very dangerous. Debris and whatever is used to shoot at them (usually bullets) can hit civilians. Second, the laws tend to not allow military and police to shoot at drones that don't pose an immediate threat to life. A new police law has been passed in Germany to fix this issue, but it was only passed very recently. I suspect other countries have similar legal issues that first need to be fixed.