There are no difficulty settings in Rocksmith. The game just gauges how well—or poorly—you're playing and adjusts itself accordingly. That means you won't have to miserably drop to some "Rookie" setting after struggling over and over. And you won't have to raise things once you've "mastered" some medium setting, only to find that the notes are just flying too fast.
Rocksmith starts by giving you just one note at a time, and once you're doing that well, the game lets things get slightly more challenging, throwing two notes, then chords, and then all of a sudden, solos. It's still plenty challenging, but you're at least semi-ready for each challenge as it comes.