So are you far into the game? I can't remember ever having the enemy fire a rocket at me, though perhaps I just forgot. In the very least it never was a problem. Are you sure you're not talking about an artillery strike? Those used to give me massive headaches. The difference is that it is a series of explosions without a rocket trail. Do deal with those you have to have a merc equipped with a radio set to scramble the airwaves. It also prevents enemy reinforcements.