I'll attempt to prove it is not possible.
The words MOANS and ROCKY differ by four letters. To get a 4-step word ladder, no letter can be changed twice, and every letter must therefore change directly to its final value.
Therefore there are only 4 possibilities for the second word:
ROANS, MOCNS, MOAKS, MOANY
and four possibilities for the second to last word:
MOCKY, ROAKY, ROCNY, ROCKS
In the last set, MOCKY and ROAKY are not words, ROCNY is only a Slovak word, so we must use ROCKS.
In the first set, MOCNS is not a word, and MOAKS is discounted for being a proper noun, and we cannot use MOANY since our choice of ROCKS already changed the last letter. That leaves us with ROANS.
The ladder must therefore look like:
MOANS
ROANS
?????
ROCKS
ROCKY
The middle word can now only be ROCNS or ROAKS, neither of which are words.
EDIT:
If MOCKY is considered a word, then:
we could choose that for the second-to-last run in the ladder. Then ROANS can't be used for the first step, leaving MOANY as the only possibility there. This gives the ladder:
MOANS
MOANY
?????
MOCKY
ROCKY
The middle word must then be MOCNY or MOAKY, neither of which are words.
For completeness, here are all possible 4-step ladders from MOANS to ROCKY if you are not concerned whether all steps are actually words. There are $24=4!$ of them because there are $4$ changes that can be made in any order.
1234 1243 1324 1342 1423 1432
MOANS MOANS MOANS MOANS MOANS MOANS
ROANS ROANS ROANS ROANS ROANS ROANS
ROCNS ROCNS ROAKS ROAKS ROANY ROANY
ROCKS ROCNY ROCKS ROAKY ROCNY ROAKY
ROCKY ROCKY ROCKY ROCKY ROCKY ROCKY
2134 2143 2314 2341 2413 2431
MOANS MOANS MOANS MOANS MOANS MOANS
MOCNS MOCNS MOCNS MOCNS MOCNS MOCNS
ROCNS ROCNS MOCKS MOCKS MOCNY MOCNY
ROCNY ROCKS ROCKS MOCKY ROCNY MOCKY
ROCKY ROCKY ROCKY ROCKY ROCKY ROCKY
3124 3142 3214 3241 3412 3421
MOANS MOANS MOANS MOANS MOANS MOANS
MOAKS MOAKS MOAKS MOAKS MOAKS MOAKS
ROAKS ROAKS MOCKS MOCKS MOAKY MOAKY
ROCKS ROAKY ROCKS MOCKY ROAKY MOCKY
ROCKY ROCKY ROCKY ROCKY ROCKY ROCKY
4123 4132 4213 4231 4312 4321
MOANS MOANS MOANS MOANS MOANS MOANS
MOANY MOANY MOANY MOANY MOANY MOANY
ROANY ROANY MOCNY MOCNY MOAKY MOAKY
ROCNY ROAKY ROCNY MOCKY ROAKY MOCKY
ROCKY ROCKY ROCKY ROCKY ROCKY ROCKY