The one surefire way to trigger an overwhelming US military response is to shoot down one of our helos. So unless they want the entire Somali Yemeni coast glassed (which, to be fair, they might as part of a larger geopolitical strategy), they would have to be very stupid to shoot at a USN helicopter.
ETA: corrected location; my bad
FWIW, I read “heat blanket” as one of those reflective metallic emergency blankets you find in wilderness first aid kits. Better than nothing, but no true heat source, as it isn’t powered, electrically or otherwise