They are relatively small (compared to airplanes) and they fly slow, low and in swarms.
At a complete guess, Ukraine is facing 3 types of problems wrt to air-defence: Firstly, simply not enough of it. Secondly, many separate systems which are not (and cannot be) integrated in ways of sharing data (S-300, Pantsir, Gepards, IRIS-T... did they get NASAMS?). Thirdly, a difficulty in finding cost effective ways of engaging these swarms eefectively.
For example Shahed drones cost, according to military researchers, an estimated $20k a pop. So a mini-swarm of five costs $100k. Meanwhile an AMRAAM costs a cool $1m and an IRIS-T about $500k. Do you fire them at Shaheds? Or do you save them for the Sukhois, MiGs and Cruise missiles?
And to be fair the vast majority of them are shot down, according to UA anyway....