Exclusive production of $rho^0$ mesons was studied at the COMPASS experiment by scattering 160 GeV/$c$ muons off transversely polarised protons. Five single-spin and three double-spin azimuthal asymmetries were measured as a function of $Q^2$, $x_{Bj}$, or $p_{T}^{2}$. The $sin phi_S$ asymmetry is found to be $-0.019 pm 0.008(stat.) pm 0.003(syst.)$. All other asymmetries are also found to be of small magnitude and consistent with zero within experimental uncertainties. Very recent calculations using a GPD-based model agree well with the present results. The data is interpreted as evidence for the existence of chiral-odd, transverse generalized parton distributions.