Rogue waves are observed for the first time, to the best of our knowledge, in a 980 nm laser diode subject to filtered optical feedback via a fiber Bragg grating. By counting the number of rogue waves in a fixed time window, a rogue wave map is established experimentally as a function of both the optical feedback ratio and the laser current. The comparison with low frequency fluctuations (LFFs) reveals that the rogue waves observed in our system are, in fact, LFF jump-ups.