That looks like the damage caused by sawfly larvae, which resemble little green or yellow caterpillars and can sometimes be seen on the underside of the leaves. We used to use Sevin dust to kill them, but we're more enlightened now and avoid the use of chemicals in the garden. I'll leave it to someone else to tell you how to get rid of them. I don't bother. They have a very short season, after which the roses get nice new leaves. I don't think the sawfly larvae can cause any permanent damage.
