Heat shields are usually aluminium with some having a thin layer of insulating material sandwiched between the aluminium As on many cars fitted with them the area of aluminium through which the steel fixing is made tends to suffer through catalytic interaction resulting in the heatshield breaking free and rattling. You can often effect a cure that works for quite a time by using large washers to refix. (I have done this on my old 5 Series BMW). However, sometimes, and I have experienced this, the heat shields can become heavily corroded (may be due to heavily salted roads) and almost disintegrate, so a new or reasonably good used one is required.
I also feel that it would be good practise to replace any heat shields that are missing or are beyond repair.