When Rorschach take off his mask in that moment, he stops being Rorschach and is the insignificant Walter Kovacs again.

Walter Kovacs has became Rorschach when he´s realized that life has no meaning by itself, that God is not in Paradise. The world is a blank slate where i can write my own moral freely (Batman v Superman tried to do the same question)

Then he realizes that he is insignificant as Walter Kovacs and begins a kind of epic journey of good versus evil to prove that he has importance in the order of things. He even claims the right to be the judge of the whole Earth deciding what murders are justifiable.

But in the end everything was just an illusion, so he takes off the mask and dies like an insect. But before dying he cries because he realizes that nobody has the right to decide which deaths are justifiable to mantain the society working.

Ozymandias arc is about proving he can make the difference too after the Comedian has made he realize that he was not so important as he thought he was.

He and Rorschach are the different sides of the same coin.
One is rich, beautiful and loved.
The other is poor, ugly and unlikable.

But both know that they are insignificant in the order of the universe.

The beautiful and rich and the poor and ugly are insignificant near a God.

"The human race exaggerates everything: its heroes, its enemies, its importance."

- Charles Bukowski