The way they usually work is they give you some string and you sign it to prove you own the address.
Could a malicious air drop make a transaction sending all your BTC to them, and then you sign it, and then they broadcast it to the network?
Or is signing a message different than signing a transaction?
What I know is Airdrop only works to promote on social media. Not all airdrops are safe, if you ask to enter your network, it might be a form of scammer to take your funds, because that is their access to enter your account.