"Sure if someone were to launch a really big rocket the targeted country could respond."
This is exactly why countries have 1000's of warheads. The inability to stop anything. Regan tried to implement StarWars program of ballistic defense, but like the movie was mostly fiction on the part of defense contractors skimming money. There are really only 4 ways to do it. The first is ICBM's. Emphasis on ballistic. You are not going to be able to intercept these with anything. On the plus side, making them is literally rocket science, and not easy, this is why not everyone has them. Many countries would like it, and have "space" programs to try and develop. However it is arguably easier to make a nuclear device than it is to make ICBM's. The second, are Those fired from subs, which are usually ICBM's anyway, and the subs are usually nuclear ships as well. Again limited who can build these things. Next there are bombers, however unless they are the stealthy kind, are pretty easy to detect and intercept. However bombers have a range, so you need places to land and refuel or strategic bases around the target country within range. Lastly there are ship fired tomahawks, again, limited usage, and also detectable and interceptable with Navy.
However you are right, the "poor man's" nuke could involve a rich mans yacht. However a much easier method would be to simply ship the thing in a shipping container with the latest Chinese wing dings. Shield the device perhaps to prevent detection in the off chance it is the one in 1000 that is actually checked. Then have it shipped by truck to some warehouse in the middle of a city someplace. Have it set to detonate when it reaches a certain threshold of GPS coordinates. No yachts required.
Just realized you probably meant respond with counter attack, rather than respond with attempted interception... whatever I'm posting it anyway... :)