What is the purpose of Whiskey rocks?
It is to cool it down without dilluting it - ice cubes would melt.
And yes, you could simply cool the entire bottle, but it wouldn't look that fancy.



Note that some purists would wrinkle their noses and insist that whisky1 is best enjoyed at room temperature and perhaps with a small dash of spring water. 

1 And I'm soooo not going into a whisky vs. whiskey debate here.