At one time the "Big Five" were at the top of hunters lists as they were considered the most difficult of Africa's big game to shoot while on foot. These were: lion, leopard, rhino, elephant and cape buffalo. Fortunately it's tourists who do most of the shooting today but only with their cameras.
While rampant big-game hunting has been largely consigned to history, unfortunately poaching has taken its place and it's the rhino in particular which has suffered as a result.
Accordingly, the number of places in Africa where you'll have the opportunity to see the Big Five has fallen considerably. However, there are places in Kenya where rhino populations are still strong and so it's still possible with a bit of luck.
These areas are relatively small in comparison to other parks so your chances of seeing these animals are increased, although the leopard always seems to remain elusive and so an element of luck is required to see one.
Finally, Kenya's most famous reserve, the Masai Mara, is also home to the big five but due to its sheer size the animals are more spread out and the chances of seeing them all are more limited.