Use some hardware cloth. I would think that 2" Poultry wire should work. Look for more information on crownbees.com. I know I mention that site a LOT but I have learned most everything I know about the bees there. Look for him on You Tube as well.
You can purchase protective screens. But I just got some wire mesh and attached it in a sort of U-shape to the front of the mason bee house, so birds are kept at a couple inches distance.