Rocket, say: why not all there? (10)
I believe the answer is:
locomotive
'rocket say' is the definition.
(Stephenson's Rocket was a locomotive)
I don't understand how the remainder of the clue works.
(Other definitions for locomotive that I've seen before include "Railway engine" , "one's attached to the train" , "for moving from place to place" , "Rocket, perhaps" , "Able to move by oneself" .)