Chicken wire might be OK.
We generally use very thin Lexan, cut to a kind-of-oval shape that mimics the chain / sprocket path, but about an inch bigger. We cut holes for the shafts (and slits so we can just snap it onto the shafts) and this makes it a lot more difficult to get something into the chain.
Remember, chains can be very dangerous. A finger in a #35 chain will be cut off by the sprocket, mashed well enough to prevent reattachment. The finger, that is.
I do realize that most of us have 9 spare fingers, but you probably don't want to rely on those spares. Losing one is painful.
