means A device propelled by the rearward expulsion of exhaust from burning fuel, used to launch fireworks, weapons, or spacecraft; also the vehicle so propelled.

from From Italian 'rocchetta,' a little distaff or bobbin — the slim, spindle-like tube of an early firework reminded someone of the spool that thread is wound on. The word traveled into English in the early 17th century by way of French. (The salad green 'rocket' is unrelated, coming instead from Latin 'eruca.')