I've never seen squirrels eat roses, but the @#$%%$%$ creeps have chewed on epiphyllums here.
But we feed wild birds, and the squirrels chow down on wild bird seed. Maybe if you put out bird seed, they might prefer that? Also, SOMEONE around here, it seems, puts out peanuts, and the squirrels seem to love those ... because we find peanut shells here and there.