The market size of civilian drones is tremendously increasing and is expected to reach 1.66 million by the end of 2023. The increase in number of civilian drones poses several privacy and security threats. To safeguard critical assets and infrastructure and to protect privacy of people from the illegitimate uses of commercial drones, a drone detection system is inevitable. In particular, there is a need for a drone detection system that is efficient, accurate, robust, costeffective and scalable. Recognizing the importance of the problem, several drone detection approaches have been proposed over time. However, none of these provides sufficient performance due to the inherited limitations of the underlying detection technology. More specifically, there are trade-offs among various performance metrics e.g., accuracy, detection range, and robustness against environmental conditions etc. This motivates an in-depth study and critical analysis of the existing approaches, highlighting their potential benefits and limitations. In this paper, we provide a rigorous overview of the existing drone detection techniques and a critical review of the state-of-the-art. Based on the review, we provide key insights on the future drone detection systems. We believe these insights will provide researchers and practicing engineers a holistic view to understand the broader context of the drone detection problem.