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 will also happen to a Revenant if his homing-missiles hit him.
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.