The planet you're describing is Mercury. It fits all the criteria of the question.
Note: If you're looking for another planet, Mars has a thin atmosphere and is rocky, but does not rotate slowly. Venus rotates very slowly and is rocky, but has a thick atmosphere. Earth doesn't have a thin atmosphere or rotate slowly, but it is rocky and dense.
You are describing the terrestrial or inner planets of our Solar System. All of these planets, Mercury, Venus, Earth, and Mars are rocky and have a dense surface unlike the gas giant or outer planets, Jupiter, Saturn, Uranus and Neptune.
