But more importantly, it sends a message - don't fuck with our airspace, we won't even send body bags
https://www.space.com/281-sky-capture-nasa-bring-genesis-ear...
However, that was a known harmless object on a known trajectory versus an unknown and possibly hostile object.
Additionally, helicopters can't fly nearly high enough for these. 25,000 feet vs 40,000+ feet.
It's too high for helicopters or rotor drones so there's no kind of aircraft that can get their quickly and just hover next to it and retrieve it. (And sending an airship would be so slow and hard to control I'm not sure you could ever get it to reliably intercept in a reasonable amount of time.)
So since you've necessary got to launch something at speed, the only conceivable capture device would seem to necessarily involve 1) a missile to puncture and deflate the balloon/buoyant part, 2) a giant net to wrap the entire thing, and 3) a parachute attached to the net to let it down gently.
But I can't even begin to imagine how you'd get all three elements working together reliably, rather than interfering with each other.
Apparently the Alaska object shattered upon impact against the ice. https://www.vanityfair.com/news/2023/02/pentagon-shoots-down...