It sounds like you are buying Hybrid tea roses which are iffy at best for survival in our zone. Especially if you do not do heavy mulching.
I love Hybrid tea roses because I like the look. I do not like roses that look like a bunch of torn up tissue paper. But those are the ones that seem to survive our zone. I am considering buying Iceberg because people say it is pretty hardy.
I have been having great luck with those mini roses from the grocery store. I have been growing them on the patio in pots. The other favorite is Sunny knockout. It is the yellow knockout rose that is fragrant.