The sentence you gave is: "Baby rhinos do not have a horn on its nose."
Let's look at it carefully. The word "baby rhinos" is plural (means more than one baby rhino), but "its" refers to one thing. We need to use "their" instead of "its" because we are talking about many baby rhinos.
So, the correct sentence is: "Baby rhinos do not have horns on their noses."
This means that many baby rhinos don't have horns, and "horns" and "noses" are also plural to match "baby rhinos."