With a mass, radius, and mean density similar to Earth's, the rocky planet GJ 1132 b is the first truly small planet for which an atmosphere detection was proposed. If confirmed, ultra-reduced magma outgassing is the only mechanism capable of producing HCN and H2O in large enough quantities to match the Hubble Space Telescope observations. The proposed atmosphere detection, however, was challenged by reanalysis of the same HST data by different teams. Recent James Webb Space Telescope observations returned ambiguous results due to the unaccounted for variability seen between two different visits. Here we report the analysis of three CRIRES+ transit observations of GJ 1132 b in order to determine the presence or absence of He I, HCN, CH4, and H2O in its atmosphere. We are unable to detect the presence of any of these species in the atmosphere of GJ 1132 b assuming a clear, H2-dominated atmosphere, although we can place upper limits for the volume mixing ratios of CH4, HCN, and H2O using injection tests and atmospheric retrievals. These retrieved upper limits show the capability of CRIRES+ at detecting chemical species in rocky exoplanets, if the atmosphere is H2 dominated. The detection of the atmospheres of small planets with high mean molecular weight, and the capability to distinguish between the variability introduced by stellar activity and/or the planetary atmosphere will require high-resolution spectrographs in the upcoming extremely large telescopes.