Realistically, it's not going to be intercepted.
1) Launch phase: Depending on the location there might be some sort of interceptor that could catch it as interceptors generally boost much harder than space rockets. However, the window is very narrow and I can't imagine anyone actually taking the shot. Just because they don't know what's going on doesn't mean shooting is the right thing to do and by the time the warning is kicked up the chain to the point where someone can be sure it's not simply something secret the window will have passed.
There is an incident from US law enforcement history that gives some indication as to the problem--the police and air traffic control wanted a plane shot down. It was unmanned (a drug runner, the crew was observed to have jumped when they were intercepted) and certain to crash and it was heading for a big city. Trying to sort this out before it reached the city proved impossible, fortunately it overflew the city and went down in the ocean beyond.
2) Orbit phase: Intercept certainly is possible--some countries have ASATs that could do it and a repurposed ICBM probably could, also--but with catastrophic EMP effects. (Setting off nukes near an atmosphere is a very bad thing as we learned from the Starfish Prime nuke test back in the 60s. That one caused problems 1600 miles from the bomb and semiconductors are far, far more sensitive than tubes.) However, once it's reached orbit it poses basically zero risk. Why would anyone expend an interceptor against it?
As for those who question the need for an orbit phase--while a direct burn for Mars is possible and actually slightly more efficient (the burn is done lower, you get a bit more from Mr. Oberth) it also means an instantaneous launch window.
3) Deep space: Not possible. Sure, a lighter rocket would be going faster and could nail it but that's assuming you have such an interceptor sitting around. In practice nobody has anything that could do the job sitting around and by the time you build one it's too late, you're not going to catch it before it reaches Mars. Also, why go to the cost? A rocket heading for Mars is no threat to Earth.