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.