Every single drone should have a self-destruct rail inside. When the drone disappears, or is seized, it can be activated. The terms of the destruct can be set on deployment. For example, if you're deploying the drone in a theatre of war and it is moved outside of the scope, it can be set to explode unless a cryptographic key is transmitted in time.

My guess is as more and more parts of war are automated with drones, the latest tech will have to be protected somehow.