EDIT: In response to question in comments about why translocons are found in RER and not in other membranes
You can certainly ask the question, but you're getting close to falling into that beautiful genesis of basic science research: something I call the 'why-hole'. I searched around, and I don't think we have a full understanding of membrane organization throughout the cell, though I would defer to any cell biologists who have a better understanding. We do have some idea of the mechanisms. What follows is a stitching together of hypothesis and some facts I was able to find.
It stands to reason that since the translocon is a complex of transmembrane proteins, its parts were at some point synthesized by a ribosome through a previous translocon. That would get it into the RER membrane. Now in order for a piece of membrane (or anything within the ER lumen, for that matter) to get to its final destination it has to have another signal sequence. This signal sequence will be recognized by unique signal recognition protein. This will localize the protein to a part of the RER that has several proteins that will form a vesicle (one of which being clathrin) and a protein attached to it called a v(esicle)-SNARE. Once the vesicle buds off it will go through the cell until its v-SNARE runs into a t(arget)-SNARE. This interaction will ultimately lead to fusion of the vesicle into the target membrane (e.g. lysosome, plasma membrane, etc). I double checked all of my facts here, where you can read more about it.
All of this is to say that if a transmembrane protein doesn't have a signal sequence it won't get targeted for transport through this system and should stay in the endoplasmic reticulum.
At this point it would be good to remind everyone that the ER--both rough and smooth--is a continuous structure with the RER located closer to the nucleus and the SER closer to the cell membrane. So it would be reasonable to ask why translocons stay in the RER and doesn't diffuse into the SER. That's where we get into more emerging science. From what I gather there are many proteins that are involved in the strutrue and organization of the ER. You can look into "the ability of NDPK-B to form microdomains at the membrane level" or reticulon2, but I think there's still a fair amount of work to do in this field. I encourage you to look into these resources, and if this is something that you're interested in consider doing some research. There is some evidence that membrane dysfunction is associated with neuronal disease, so any advances would be well received.
As always, keep asking questions!