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Rockets, as well as other projectiles, that are fired by the player will pass through them as they make contact. This was done deliberately to prevent projectiles exploding inside their hosts, but means that (for example) a player will not be hit if he teleports into the path of a projectile that he has fired, or runs out ahead of it. This also applies to monsters, and means for example a Revenant homing missile will pass though the Revenant who fired it. It does NOT apply to the SNES version of Doom, where the player can commit suicide by overrunning the rockets which he/she fired.
This effect is negated if the player dies and then respawns while his ordnance is still in flight, because the new player is a different Thing (see section 3I of the BFG FAQ). He can then be damaged by his own projectiles.
Voodoo dolls are also not affected, a player can kill his own voodoo doll with rockets.