What happens when all electrical systems in a helicopter fail?
The reason for the failure is important actually. If all the electrical systems on an EC135 helicopter fail in your classic EMP scenario then the helicopter has to make an emergency landing as the jet engine is run by a computer system which requires electricity. A power failure of that system would most likely cause the engine to revert to manual backup, which means it's still running but you need to get it down ASAP. It's also possible the engine could fail entirely, in which case the helicopter would have to autorotate, i.e. land without engine power, which is survivable, if hazardous and extremely exciting.

If you are asking about a more straightforward electrical failure of flight instruments and comms with the engine still running then the pilot would continue to fly the chopper and use backup instruments to complete the flight. Even fully "glass cockpit" aircraft have a set of "steam gauge" instruments, some which require no power whatsoever, like an altimeter and airspeed gauge which use air pressure measurements, a magnetic compass for navigation, etc. Some will also have a backup Attitude Indicator which is powered by an isolated battery system and would give the pilot attitude reference even in cloud or poor visibility. So it's less of an event that you might imagine, although instrument failure is always an interesting experience, trust me.