This could be because the arrow is traveling so fast it's going entirely through the rock in a single frame. It depends how fast the arrow is traveling and the size of the colliders. I'd advise making the arrow slow to eliminate that possibility first.
Two other things I noticed:
You have a 2D collider on the rock - does the arrow also have a 2d collider? I'm not sure if 2D/3D colliders are compatible.
There's a warning on the game object you've selected (in the first screenshot) about the collider, that might also be the reason.