[Even if the rocket hit him, he'd just devour the explosion and render it completely futile in terms of damaging him.]

[Still through the chaos he does hear Rosette and he turns to face the direction from which the fire is coming straight at them. He grins devilishly. The fire strikes him head on however Rosette may notice that it's not getting past him. If anything, the fire seems to be funneling towards Natsu as if it was water in a tub without a cork]