I take out Gjallarhorn, lock on to a target, fire and it explodes in my face about 15% of the time.
There are no enemies in front of me, there are no environmental objects (Walls, pillars, etc.) in the way or anything.
It happens in Raids, Gambit, Campaign, you name it.
Get to work.
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I believe rockets, like grenades, can be shot. If someone is shooting at you as you fire, and the shot tags the rocket, it will explode in your face.
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Doesn't happen to me 24/7, but every now and then. But after 20k kills you can expect it too I noticed it the most in Dares But sometimes it's Ghorn's secret perk Because Ghorn has the perk "Grenades and Horseshoes"
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If you could provide a video for your tall tale that would be fantastic.