This is an interesting one. Where is it from?
I think in America,"rock on" means "keep playing rock music".
In the UK we have another expression "Rock up..." which just means "arrive unexpectedly". As in "We needed to see someone at the base and we didn't have an appointment but we just rocked up and they helped us".
I guess the person speaking in your example must be using "rock on" in a way that I would say "rock up". Maybe they just decided to go there spontaneously.