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.
-
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.