This sounds like you have what are called Rose Gall Wasps. They lay their eggs just under the cane surface on the rosebush. As the larvae develope the prickly bump gets bigger and bigger. I cut one open one time to investigate and found three little larvae inside! They jumped around like crazy for a little while. They do not really seem to harm the rosebush and the wasps that lay the eggs seem to prefer certain rosebushes over others. Not sure why. You can prune them out if they are bothersome or you can prune out a section and put it into a large jar with air holes. Then watch until the new little wasps emerge. It is one of those things of nature that not everyone gets to observe.
Stan The Roseman