Pretty much every definition I've read about asteroids is something like "Asteroids are rocky worlds revolving around the sun that are too small to be called planets."
What would an asteroid be called if it was in deep space, not orbiting any sun?
We have only discovered one such object so far: ʻOumuamua. (Although a second, 2I/Borisov, was discovered in 2019) The general practice has been to call it an "interstellar asteroid" or "interstellar comet", even though it is not in orbit. You could just call it an "interstellar object".