We have a little green fly eating the leaves of our roses.
Green Fly on Roses
They may be what is called Aphids. If your rosebushes are under heavy attack from them a spraying with a good insecticide listed to kill aphids may be in order. If only a few of them are causing problems a good stiff spray down of the foliage every other day should send them packing. A major attack of the aphids must be controlled quickly as they can do a lot of damage. I have used Ortho and Bayer insecticides with good results.