Firstly can you clarify if you are looking to change the Z-elevation, or the Z index? As dop2000 said they are different things. If you are looking to create the particles at the rock coordinates, and there is only one rock, and then have the particles always be the same Z-elevation as the rock sprite, then you can use:
On whatever condition then
action -> Create object 'particles' Rock.x,Rock.y
action -> Add child 'particles' to Rock (and make sure the Z-Elevation option is selected)
action -> Set 'particles' Z-Elevation to Rock.Zelevation
This will always match the particles Z-elevation to the rocks.
If you only want to match the Z-elevation at time of creation and not have the particles z-elev transform to that of the rock later then you can uncheck the Z-elevation box when adding the child.
If you have multiple rocks, you will need to use a pick condition that chooses the correct rock.
demo here: 1drv.ms/u/s!AkmrWgxeuxlKhIcnLZBM7z8smX04dg
If you're looking to move the particles to the same layer as the the parent then do what dop2000 suggested. Or if you know the layer that the rock is on then set it correctly in the create object action.