Asteroids and comets only seem to refer to masses within the solar system, and it seems unclear whether planetesimal does.
Just add the prefix "exo-". At least exocomet and exomoon seem to be established.
I have to disagree with the accepted answer. The terms Planets, moons, asteroids, planetesimals are generic and are not implied to mean objects in the Solar system. So, these terms are completely correct when dealing with the generic objects.
When specifically emphasizing the fact that a certain objects is not in Solar system, then you may want to add 'exo' for disambuigation, but this should be reserved for this purpose only.
A planet is a planet no matter where. Same with a house, which is a house no matter whether it's in your home town or elsewhere on the Earth.
Note in edit: My answer is based on the practice amongst professional astronomers and not on what some dictionaries say. I reckon the latter are somewhat behind the times, when all planets, asteroids etc known where those in orbiting the Sun. Wikipedia is a great resource, but anybody can change its contents and, not surprisingly, some of its pages are quite biased.