Not hard to believe if you recognize Michael for the cold-hearted, manipulative person that he was. Rocco, who was brought into prominence in the Family by Clemenza, was little more than a bodyguard by the end of GFII. Neri, who was Michael's man from the beginning, had pushed past him. Rocco was expendable, Neri wasn't.
Though we might have expected Michael to value Rocco's "loyalty," we heard from him on that subject right after the Tahoe shooting. After telling Tom that he was the only one he could trust, Tom asked if he suspected Rocco and Neri. "They're businessmen," Michael replied. "Their loyalty is based on that." Uh-oh!