Rost started his career at 1. FC Markkleeberg in the German lower divisions. His play with Markkleeberg led to interest from Werder Bremen who signed Rost in 1992. After playing with Werder Bremen II Rost made his Bundesliga debut during the 1995–96 season and became first-choice keeper during the 1998–99 season before moving to Schalke 04 in July 2002. He was a regular first-choice keeper at Schalke until he lost his starting position to youngster Manuel Neuer in late 2006, so in January 2007 he moved to then struggling Hamburger SV where he immediately became first-choice keeper and helped the team move from last to seventh place. His good form continued with the club, which made HSV fans to nickname him "Frost".