Thor and the rest of the Asgardians (or at least the guards in Endgame) are always referring to Rocket as a rabbit in both Infinity War and Endgame. Out of universe, the explanation would be that its funny, but I was wondering if there's an in-universe reason. Evidence from the MCU is preferred but you can draw from comics etc that aren't part of the MCU.
The film's (canon) prose novels offer us a little more info. Thor calls him a rabbit because he thinks Rocket is a rabbit. While this doesn't directly address whether rabbits exist on Asgard (or whether he's seen one during his brief time on Earth) it at least shows that he's not being facetious.
"Is it weird that I wanna do it even more now?" Rocket asked.
"Mmm, a little bit. Yeah," Thor answered, questioning his choice to bring the rabbit along.
Rocket accepts that it's just because he's simply ignorant.
“You’re in a foul mood, rabbit,” Thor said, shaking his head.
“I’m in a foul mood? Yeah, I wonder why,” Rocket said sarcastically. Surely it had nothing to do with pirate-angel progeny constantly mistaking him for a rabbit.
In this clip from Guardians of the Galaxy, Rocket didn't know what a raccoon was either, and denied that there was any creature like himself.
Rocket travels a lot, so this suggests that there are lots of planets without raccoons. For all we know, Earth could have all the raccoons in the universe.
Rocket is kind of an idiot though, so there is also a possibility he is mistaken. He was created by cybernetically enhancing an animal; presumably this happened near a planet that has raccoons or raccoonoids.