One way I can think of addressing the inherent issues elaborated in TechZen’s answer and Saidoro’s answer is an underwater civilisation.
Our species lives on a planet mostly covered with water. There are tiny pieces of land that can support a rocket-launching site but they are deserts to our species (cf. the Kung in Pratchett’s Strata). Thus, there is nothing of value to destroy without going underwater.
Now, you can still cause explosions underwater, but since this is much harder, it is plausible that your species detects the way to make easy explosions on land first.
To go one step further, you can make the ocean not consist of water, but of some non-Newtonian fluid, whose resistance to movement strongly depends on the speed of that movement. This would slow down any fast motions within a short range and strongly prefer melee weapons (something vaguely similar is done in Frank Herbert’s Dune, where shields with a similar property lead to a renaissance of melee).
Alternatively or addionally, to avoid people dropping something from space, there could be large underwater cave structures, in which our species lives and which protects it from threats from above.
