There are many numerous flights leaving from Rochester (ROC) to Las Vegas (LAS) but they are not direct flights. The only direct flights that we have found where from Buffalo (BUF). The different in prices between Rochester and Buffalo are not that significate to warrant a drive to Buffalo.
For your reference here is our flight itinerary:

Itinerary	Date	Flight
7:55AM Depart Rochester, NY (ROC) 9:50AM Arrive Charlotte, NC (CLT)	Aug. 31	US Airways 431
11:10AM Depart Charlotte, NC (CLT) 12:43PM Arrive Las Vegas, NV (LAS)	Aug. 31	US Airways 667
2:00PM Depart Las Vegas, NV (LAS) 9:45PM Arrive Philadelphia, PA (PHL)	Sept. 6	US Airways 30
10:45PM Depart Philadelphia, PA (PHL) 11:59PM Arrive Rochester, NY (ROC)	Sept. 6	US Airways Express 1458