There has been a rapid growth in the deployment of Unmanned Aerial Vehicles (UAVs) in various applications ranging from vital safety-of-life such as surveillance and reconnaissance at nuclear power plants to entertainment and hobby applications. While popular, drones can pose serious security threats that can be unintentional or intentional. Thus, there is an urgent need for real-time accurate detection and classification of drones. In this article, we perform a survey of drone detection approaches presenting their advantages and limitations. We analyze detection techniques that employ radars, acoustic and optical sensors, and emitted radio frequency (RF) signals. We compare their performance, accuracy, and cost, concluding that combining multiple sensing modalities might be the path forward.