If there is a minor skin irritation of any sort they scratch the itch the only way they know how, and occasionally they just like to do it 'cause it feels good. Koi can also be playful chasers and if a spawn sneaks up on you (usually in the middle of the night) they get downright ROUGH with each other.
In any of these circumstances a rock is a potential source for an injury. If you could find a rock that was self-cleaning and inhospitable to all bacteria, it would still be a cut, scrape, or broken fin, just waiting to happen.