Have you tried distracting him when you leave? My friend, who has three young Bassets, fills kongs with peanut butter and then freezes them. When she goes out she gives each of the dogs a kong as a special treat (only given when the dogs are alone). The kongs distract them from the fact that she's leaving and the frozen peanut butter keeps them busy for a long time (my Moe used to be able to empty a kong in less than five minutes <_< - I never thought of freezing it first). Perhaps it would help Rocky, too?