Using a knife with a serrated edge, remove all skin and pith from grapefruits. Holding each over a large bowl to catch the juice, segment each grapefruit. Squeeze the membrane section to release juice.
Remove outer tough sections from fennel. Cut fennel in half and cut each half into very thin slices. Add to the grapefruit and juice.
Cut the capsicums in half lengthwise and remove all seeds and membranes. Cut into very thin strips and add to the fennel.
Cut the red onions in half and cut into very thin wedges. Add to the grapefruit. Cover and refrigerate until ready to serve. Just before serving, add garlic, oil, salt, pepper and rocket and toss to combine.