This paper extends the high-order compact gas-kinetic scheme (CGKS) to compressible flow simulations on a rotating coordinate frame. The kinetic equation with the inclusion of centrifugal and Coriolis acceleration is used in the construction of the scheme. With the updates of both cell averaged conservative variables and their gradients in the rotating and stationary domains, a third-order compact reconstruction is developed with sliding interface between them. To properly capture shock wave and complicated wave interaction, the HWENO-type non-linear reconstruction and gradient compression factors are incorporated in the scheme. For achieving high-order time accuracy, based on the flux function and its time derivative the multi-stage multi-derivative (MSMD) time stepping method is implemented in the scheme for the fourth-order accuracy with two stages. The CGKS is validated by many test cases from subsonic acoustic wave propagation to the high Mach number shock interaction in a rotating frame. The compact scheme achieves high-order accuracy and remarkable robustness.