It's impossible to say for sure what Walter and Luis Alvarez thought a large rocky object was without more context. There are many possibilities, depending on the specific object and the situation. Here are some scenarios to consider:

* Are we talking about a specific object, like an asteroid or a meteorite? If so, their thoughts would depend on the time period and their knowledge. For example, if we're talking about the early 20th century, they may have thought it was a celestial body similar to the Moon or other known asteroids.

* Are they discussing a hypothetical object? They may have been theorizing about the nature of a large rocky object, perhaps in the context of their work on cosmic rays or the impact theory of the extinction of the dinosaurs.

* Is this a fictional scenario? If so, we would need to know more about the story or film in question to understand their thoughts.

To give you a more accurate answer, please provide more information about the context in which Walter and Luis Alvarez are discussing this large rocky object.