They're prone to stinging corals and other benthic critters. I can't quite tell if it's hydroids or some cnidarian, but IMO it's best to rid them just to be safe (by removing the rock if possible).
Remove the rock...its unclear in the pic..can you tell if the stalk looks "hard" (pardon the pun) or is it a soft stalk? if its hard it could be tube worms which are good...