It turns out that this Rhino came from l'Ancien Palais de Trocadéro which was built for the World's Fair of 1867. If you look closely on the right side of the picture near the bottom of the steps, you can see the Rhino statue.
When the palace was demolished, the Rhino was removed and stored. It was restored in 1986 and placed at the entrance of the d'Orsay Museum where it resides today. And this completes today's history lesson.