If you see very small green worms on the underside of the leaves, you have rose slugs. This is the time of year when they hatch from the ground and climb up into the rose, eating on leaves. The following article discusses rose slugs and how to control them: http://extension.missouri.edu/adair/documents/Rose%20slugs%20a%20pest%20of%20rose%20bushes.pdf
There can be a few different pests eating your roses.
These articles will help you.