The folks who were going through the debris did actually find a rocket launcher in the wreckage of the building. There's even a picture of it in the final action report about the bombing. It sounds completely outlandish that there would be a rocket launcher in the debris of a building, but it's important to remember there were multiple different law enforcement agencies that had offices there. The DEA, Secret Service, and ATF all had regional offices in the building, so some of the stuff that would end up being found would obviously not be what you'd expect in a normal pile of debris. Bill is exploiting the normal reaction a person would have to hearing about a rocket launcher being found in order to insinuate that something nefarious is going on. He doesn't offer any explanation for why this find might not be as weird as it sounds. He just repeats it as gossip that may be true and is being covered up, maybe! Or maybe it's just bad intel. It was true, and it's not that weird. And no one was covering it up.