In the movie, Rorschach had Dr. M's pyche profile, the fact that all the cancer victims worked for the same company, and where the energy that destroyed the various cities came from, among other things.
In the book, he knew of the connection between the cancer victims, he knew of the compound that had been used to teleport the monster, he knew why the Comedian had been killed and he knew why Ozzy did what he did.
True, he has no physical evidence, but Rorschach knows pretty much everything and has shown himself to be exceptionally capable. He'd know where to look for evidence and even as smart as Ozymandias is, he can't wipe clean every link to his plan. Rorschach was by no means harmless to Ozzy's plan.