Answer: Based on your description, I am not sure if you are describing caterpillars of some kind, or the very tiny wormlike larvae of rose stem borers.
Caterpillars would normally devour foliage and can be controlled by using Bt according to the label instructions. Keep in mind they must eat the Bt and then it takes several days to kill them. Hand picking can also be effective if there are only a few on the plant.
The stem borers will dig into canes and kill them, resulting in wilting and dead canes on the bush. If you see a wilting cane and suspect borers, remove it promptly by cutting it off well past the wilted section and into healthy wood to be sure you are removing the borer along with the wood.
If borers are an ongoing problem, whenever pruning or trimming back, smear a drop of white glue (such as Elmer's brand)on the cut end of the cane to discourage borers from entering the cut area.
Since spraying is not usually that effective, you might also try using a beneficial nematode applied to the soil according to label instructions. This works on killing the little worms once they have migrated to the soil to mature into adults.
I hope this helps.
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