1.Heat oil in a large frying pan over medium heat; cook onion, celery and garlic, stirring, for 5 minutes or until soft but not browned. Transfer mixture to a large bowl; cool to room temperature.
2.Add chicken, breadcrumbs and egg; mix well. Add fetta, rind and rocket; mix until combined.
3.Preheat oven to 220°C/425°F. Line three oven trays with baking paper.
4.Divide chicken mixture into six portions; shape each portion into a log the length of the pastry. Place one log, two-thirds of the way up, on each pastry half. Brush edges with a little water. Fold pastry over filling, pressing to seal. Place logs on trays, seam-side down. Refrigerate for 30 minutes.
5.Cut each log into four pieces. Score pastry four times across each roll. Combine egg yolk and milk in a small bowl; brush top of rolls liberally with egg mixture then sprinkle with sea salt.
6.Bake rolls for 15 minutes. Reduce temperature to 180°C/350°F; bake for a further 10 minutes or until golden and cooked through.
Fresh breadcrumbs are best made from bread that is slightly stale, about 3 days old. If you only have fresh bread, leave the slices out on the bench for a few hours to stale. Process bread, with or without crusts, until coarse crumbs form.
Sausage rolls can be prepared a day ahead and baked just before serving, or can be baked a day ahead and reheated before serving. They are also suitable to freeze for up to 3 months.