It's somewhat plausible that anti-drone "rockets" end up physically being some sort of rotary craft, like a suicide drone that's incapable of turning around. But a thing that only goes in one direction, one time, is still going to be cheaper and simpler than something that has to be able to slow itself down and reverse course. That's why I'm fairly confident that anti-drone weaponry ends up cheaper than drones in the long run, even if it's fairly high-tech stuff. It's also why I think this is different from ICBM interception (which I've posted a few times about being mostly impossible), since in this case you're intercepting something slower with something faster (and all the speeds are less than ICBMs).

Minus electronic warfare solutions like jamming, but a software problem seems easier and cheaper to overcome than a hardware one

There's only so much you can do with software. If the parts of the EM spectrum you have antennae for are full of enough noise, there's nothing for software to do. But I don't actually know how much noise it's plausible to put out in a war setting.