It wasn't Rocco who said this: "Looks like they were hired out of New York, I don't recognize them." One of the guards said it.

But there are so many problems with the assassination scenario. Q has pointed out a few. From what I can tell, they would have had to traverse nearly the entire compound to make their escape. Given the brief time between the shooting and their escape, how would anyone have the time to murder both of them them not to mention that they were both armed? Also, taking the time to empty a magazine into the boss's bedroom window seems a rather doubtful and risky approach. You can tell that the bedroom window glass is lead-content making it much less penetrable than regular glass and also subject to deflection.