"Or do they have deities that can protect them from Us?" meaning: they have taken deities that cannot protect them from Us.
Al-Hasan said: meaning: they cannot protect them from Allah if He wills to punish them. He used to say: only the devils who invited them to the worship of idols will be punished, and the idols themselves will not be punished. "They cannot even help themselves," He says: those idols are unable to help themselves if He wills to punish them. "Nor can they be protected from Us," Al-Kalbi said: He says: and those who worshipped them will not be protected from Us.
﴿أَمْ لَهُمْ آلِهَةٌ تَمْنَعُهُمْ مِنْ دُوننَا﴾ أَيْ: قَدِ اتَّخَذُوا آلِهَةً لَا تَمْنَعُهُمْ مِنْ دُونِنَا.
قَالَ الْحَسَنُ: يَعْنِي: لَا تَمْنَعُهُمْ مِنَ اللَّهِ إِنْ أَرَادَ عَذَابَهُمْ، وَكَانَ يَقُولُ: إِنَّمَا تُعَذَّبُ الشَّيَاطِينُ الَّتِي دَعَتْهُمْ إِلَى عِبَادَةِ الْأَصْنَامِ، وَلَا تُعَذَّبُ الْأَصْنَامُ. ﴿لَا يَسْتَطِيعُونَ نَصْرَ أَنْفُسِهِمْ﴾ يَقُولُ: لَا تَسْتَطِيعُ تِلْكَ الْأَصْنَامُ نَصْرَ أَنْفُسِهَا إِنْ أَرَادَ أَنْ يُعَذِّبَهَا ﴿وَلا هُمْ مِنَّا يُصْحَبُونَ﴾ قَالَ الْكَلْبِيُّ: يَقُولُ: وَلَا مَنْ عَبدهَا منا يجارون.