The problem of attitude and rate gyro bias estimation is addressed by resorting to measurements acquired from rate gyros and vector observations. A Set-Valued Observer (SVO) is proposed that has no singularities and that, for any initial conditions, provides a bounding set with guarantees of containing the actual (unknown) rotation matrix. The sensor readings are assumed to be corrupted by bounded measurement noise and constant gyro bias. Conditions for the boundedness of the estimated sets are established and implementation details are discussed. The feasibility of the technique is demonstrated in simulation.