Yes but...
Most rockets in game are not meant for a2a work. While any plane to get hit by them will go boom, they are very difficult to use air to air. You have to go extremely close and have to be very lucky at the same time. Makes more sense to use your guns long before that.
An exception are the German WGR rockets (Bf 109G, Bf 110, Me 410, FW 190A), which are actually meant to be used against bombers. They have a fuze which is set to a certain time (can't remember which exactly). In practice, that means you want to shoot them somewhere around the D1000 mark from the bombers six o clock.
Still difficult to pull it off successfully, but definitely doable. A few guys have mastered it very well in the past.