Any decent synth vsti would be capable of this.
Jim describes it well already, but I would add "noise" as a part of the sound as well. On a synth, the LFO, filter and noise can be used to create thunder, rain, jet engine, light breeze, helicopter, etc.... etc...
EDIT TO ADD: I just listened to the opening of the song.... scratch the noise suggestion. If you were looking to do a more realistic helicopter you would add some noise to it.