I think the current interceptors are optimized for one way attack - just enough flight time to catch the target and detonate. Any extra systems (such as guns or recovery hardware) make the interceptor more expensive.

Also these kamikaze drones are not flying in huge flocks like WW2 bomber that tried to cover each other with machine guns - even if a gun armed interceptor shoots one down, it might not be able to intercept another during the raid.

Some bigger, L-39 sized jet drones on the other hand could be quite capable, possibly launching separate one-way interceptors on top of guns.