There are some sort of mauve-y roses, and many very dark reds but so far I don't think roses actually come in purple.
People do plant clematis as a companion plant to roses, though. They sort of climb through the rose branches and it makes a beautiful display. There are many stunning purple clematis, including Jackmanii, an old classic and her many progeny.
Here's a nice article c/w pictures:
http://garden.org/ideas/view/z...
