The German driver clocked a time of 1 minute, 14.759 seconds to finish .318 in front of teammate Lewis Hamilton and .437 ahead of Ferrari driver Fernando Alonso in the second session. The times were generally faster than in the first session.
But having taken pole position in the past two races and failed to finish in the top five, Rosberg is wary about reading too much into qualifying and practice speeds. Hamilton topped the grid at the Chinese GP three races ago, and Mercedes secured a 1-2 in qualifying two weeks ago in Spain — but neither driver has won a race yet.
"It seems that we are quick again on one lap, but we have been working hard again to make improvements to our race pace," said Rosberg, whose best result this season was fourth at the Malaysian GP. "It will be interesting to see where we are compared to the others over the weekend, as it's not really representative today."
Monaco is the hardest track for overtaking, and a repeat front-row performance in Saturday's qualifying will set up Mercedes to end that barren run — but only if the car improves its durability.
"The true test will come on Sunday, but I'm pleased with the technical work that we covered in the two practice sessions today," team principal Ross Brawn said. "Both Nico and Lewis, along with our engineers, did a very good job working together through the program. A pleasing start to the weekend, and now we have to make the right decisions for Saturday and Sunday."
Hamilton, the 2008 F1 champion, has two third-place finishes this season and feels Mercedes is close to getting that first win.
"The car is almost there and the pace looks good," the Briton said. "We'll look at the data tonight and work on those areas which can still be improved."
Three-time defending F1 champion Sebastian Vettel finished 10th in the morning session and ninth in the afternoon.
"Unfortunately we lost quite a lot of time in the afternoon while we were making some changes," Vettel said. "We'd like to be a little bit more competitive, so we need to try and find some more lap time."
Romain Grosjean was forced out of the second session after smashing into the barrier at Sainte Devote. He was unharmed and his car was lifted off the track by a crane. The session was briefly halted by a red flag as marshals removed some metal debris from the track.
"I didn't have the grip I expected going into the corner, but there was nothing wrong with the car," Grosjean said. "My braking and entry speed were all wrong and I ended up hitting the barrier ... I was committed to the corner so that was it."
Hamilton and Alonso both had narrow escapes, going perilously close to hitting barriers.
Alonso won the Spanish GP, with Kimi Raikkonen finishing second and Massa third. Finishing ahead of both Red Bulls was a boost for Ferrari, with Vettel coming fourth and teammate Mark Webber fifth.
On Thursday, Webber was fifth quickest in the second run, ahead of Lotus driver Raikkonen.
Rosberg finished ahead of Alonso and Grosjean in the first session.
Ferrari's brief in recent races has been to close the gap on Red Bull in qualifying, because neither Massa nor Alonso has been on pole.
Alonso won in Spain from fifth on the grid, but that is unlikely to be good enough in Monaco. Only two drivers have won from outside of pole in the last 10 years on this track — and they both started from third place.
Red Bull has captured the past three races in Monaco, all from pole. Webber won last year and in 2010, and Vettel took the checkered flag in 2011.