If I remember correctly, the cops will not fire the guns of the helicopter in GTA IV. I cannot find any evidence to support that they do fire the guns at times or missiles for that matter.
The Ballad of Gay Tony added the Buzzard Attack Helicopter which was equipped with rockets, but the police use the Annihilator to pursue players, which does not have any rockets. In this video, the player has a 6 star wanted level and the helicopters pursuing him/her were Annihilators, none of which opened fire with their miniguns. You can also tell they are playing TBoGT because of the colorful menu in the beginning on the video.
That being said, the Annihilator was upgraded in TBoGT to have explosive rounds as the wiki says:
The Annihilator is upgraded in The Lost and Damned and The Ballad of Gay Tony, where it moves more quickly and fires explosive rounds instead of the regular ones seen in Grand Theft Auto IV.
If anything, it was these explosive rounds you saw, but not rockets.