A dangerous situation reportedly unfolded at the southern border early Thursday, with a Mexican military helicopter crossing into Arizona and firing shots at U.S. Border Patrol agents. Gretchen Carlson reported that the chopper returned to Mexico and officials later apologized to U.S. authorities for the incident.

The Border Patrol agents involved were not hurt.

"Early this morning, a Mexican law enforcement helicopter crossed approximately 100 yards north into Arizona nearly 8 miles southwest of the Village of San Miguel on the Tohono O'odham Indian Nation while on a drug interdiction operation near the border. Two shots were fired from the helicopter but no injuries or damage to US property were reported. The incident is currently under investigation," the Border Patrol said in a statement.

Gretchen discussed the startling series of events with Fox News contributor Katie Pavlich and Shawn Moran, VP of the National Border Patrol Council. Moran said the Border Patrol vehicle was clearly marked and it's very hard to mistake those vehicles for anything else.

Moran said that U.S. Border Patrol agents know there are "drastic repercussions" for crossing into Mexico and must be aware of their location at all times.

"Unfortunately on the other side of the coin, we really have no repercussions when the Mexican military or law enforcement crosses into the U.S. We usually let them go with an apology at the orders of the State Department," he said.

Pavlich suggested that Mexico should be called on to do more than just apologize, such as release Marine Sgt. Andrew Tahmooressi from prison. She noted that Tahmooressi voluntarily turned himself in when he mistakenly crossed the border.

"He wasn’t violent. He didn’t shoot at Mexican agents. He was very cooperative. And yet here we are with the Mexican military shooting with lethal force at our Border Patrol agents and somehow our Marine is still in jail. President Obama should get on the phone and say, 'look, there won’t be consequences for you as long as you exchange our Marine back for what has been done here,'" said Pavlich.

Watch the full segment above.