Often supply drones don't explode when they hit the ground, but the game registers them as disabled and bullets will clip through them. They're also tricky to shoot down because sometimes what should be a direct hit seems to randomly miss.
They also don't always drop loot when downed and sometimes you'll get awarded loot automatically when you shoot them without having to loot the wreckage. They're a bit buggy all round and have been that way since launch.
@UbiBlush - do we know if this is logged as a bug on the stack somewhere?