Can I cover a high efficiency HVAC vent?
The appliance typically comes with a screen, that should be installed in the end of the exhaust pipe. The screens are commonly made from Polyvinyl Chloride (PVC), or Acrylonitrile butadiene styrene (ABS), but could be any heat and corrosion resistant material.

I'm not sure you'd be able to pick one of these up at the local home center or hardware store, but you could always check.  Through a quick google search, I was able to locate a product that should fit your needs...

Diamond Vent Screens



  Our patent-pending Diamond Vent Screens are specially designed from robust, long lasting ABS plastic to let these varmints know homeowners aren’t interested in having them over for a visit. Designed with furnace and water heater exhaust pipes in mind, our screens keep birds, squirrels, chipmunks where they belong – outside.


I've never used, and don't recommend, or endorse this specific product. It's simply the first product I came across when searching.

A screen like this will prevent birds, leaves, and rodents from entering (or leaving if they already live in the pipe/furnace). Unfortunately, there isn't much you can do to prevent insects. Anything that would block small things like insects, would also restrict the air flow and cause more problems than it solves.