A sufficiently advanced technological field is one where any expert would start laughing at you for suggesting "hardening" against bullets. The denominator for rockets is always mass. Most of the difficulty is derived from not just doing a thing, but doing it in as lightweight a way possible. There are rocket stages that won't even stand up under their own weight, we have to inflate them like balloons just to move them.

In simpler terms: A bullet-hardened rocket would be about as usable as a lead balloon.

There are rarely mentioned cases where you do actually want to be able to pierce a rocket with a bullet. Mostly related to recovery (or not...) post-flight.