that's why I never plant roses late in the year (ok, I lied.. I planted those two British roses in October, but this winter was weird). If you don't want to mulch, try Water Walls or some other kind of rose protection (rose collars, styrofoam covers, etc). It's the freeze/thaw/freeze/thaw that kills my poor babies.
Especially late winter/early spring. Either that, or go with just the Canadian Mordens! You can't kill those badboys.. those and KnockOuts. Can't kill those either (but they're just so boring!)