That was me! It’s a clip attached to the case. The clip didn’t even come with the case, it came with an old smart phone case, and just happened to be compatible with the silicone case I got for my rocker (this one, which is unfortunately no longer available -
https://www.amazon.com/gp/product/B01I532Z92) I’ve also been searching for a good clip that can attach to the player itself (by adhesive, like a pop socket) but haven’t had any luck. It seems like the kind of product you’d think would be available as a clip to attach to any similar sized device.