The rockets were found near the parliament building
Roads leading to the parliament have been cordoned off and bomb experts have begun investigations, reports say.
"We have detained a few people for questioning," an unnamed police official told Reuters news agency.
Reports said the rockets had been defused by bomb experts, but there was no independent confirmation.
The parliament is not in session.
One report said that the rocket and the rocket launcher were found in a patch of green across the road from parliament main government buildings.
They were recovered a day after a small explosion in a park not far from President Pervez Musharraf's army residence in Rawalpindi.
The military has dismissed suggestions that the blast was related to Gen Musharraf.
Pakistani Parliament building
A  and at least one rocket have been found near the  building in the Pakistani capital Islamabad, the police have said.

Reports say that roads leading to the Parliament have been cordoned off as the result of the discovery by the police. An unconfirmed report has said that the rocket has been defused.