Help the confused alien visitor complete his observation log about Earth.

"Humans are strange. When it rains, they open colorful umbrellas to keep ___ heads dry, but they let their shoes get completely soaked!"

The correct answer is their.

Their is a possessive adjective used before a noun ("heads") to show that the heads belong to "them" (the humans). "Theirs" is a pronoun and cannot be placed right before a noun.