It’s a weird visual bug. The only solution to remove it (so far) is by using console commands. Open the console, click on the asteroid, then type disable on the console.
I was already disappointed with the unimmersive the space travel is in the game, and this bug just added itself to the list of disappointments.
Some technical notes: When I looked at the asteroids using the console, I expected them to be STATIC Objects; they were actually something called CONST iirc. Just some fun facts.