The Rose Slug
The Rose Slug gets busy every year in early summer and can skeletonize your rose leaves. They usual begin to cause trouble sometime in May. You see the damage every year. The leaves have hundreds of holes, brown spots and look just awful. When you look you often don't see anything.
The culprit is the Rose Slug, This is the larval stage of the Sawfly insect.
After they wreck havoc on your rose leaves, the Rose slug larvae turns into a pupae and overwinters in the soil and emerges in spring as a Sawfly to lay eggs on your rose leaves. [I have no idea what the Sawfly really looks like since I have only seen pictures. They are dark brown and tiny. ....But I have certainly seen the damage that comes afterwards.] The eggs hatch out into these little green larvae that look a bit like a caterpillar. They eat like crazy and then disappear.
Most varieties have only have one cycle but they can do lots of damage in a short period of time. My customers talk about them being a problem all summer and the article I read said that some kind can have more than one cycle.
After the leaves are skeletonized and brown it does no good to spray. That's like locking the barn door after the horse is gone! Too late.
The Synthetic Pest Control Way
We've had good reports from customers who use any of the Bayer Rose products that contain cyfluethrin. Check the labels of other products to see if they list Sawflies, larval insects etc. We have most of them for sale.
You can just barely see the little
green slug at the top of the second leaf from the left. The next picture is a
close up. 
The dark part of the larvae is the leaf munchings going through the
gut of the larvae...Gross!
The Organic way
You can choose to not use an insecticide and hand pick and spray off the little slugs worms with a strong spray of water. You can take a broom handle and knock briskly on the branches every few days. The slugs aren't very well attached to the leaves so they will fall off. Customers who use Horticultural oil when the slug damage first appears report good results and oil is a very safe alternative to synthetic pest control methods. Remember, these are NOT caterpillars so treatments recommended for caterpillars (such as Trichograma beneficial wasps and BT (bacillus thurengensis) will not work. This is a larvae not a caterpillar. Sorry!
Thank you to Hortipm for the description below and more information on the Rose slug larvae, Sawflies and Rose Slugs Description:
These primitive wasps called sawflies because females of most species have a saw-like structure on the abdomen tip used to insert eggs into plant tissue.
Larval stages are caterpillar-like, with a well-developed head capsule and 3 pairs of true legs behind the head; hairless body.
Some sawfly larvae are slug-like, appearing slimy, unsegmented and translucent, greenish to black, while others appear wax-covered in some of their developmental stages.
Adults vary from 3/4 to 2 inches long.Damage: Adults are rarely seen and do not sting.
Most sawflies are somewhat host-specific. Larvae of some species are leaf rollers, web formers, leaf skeletonizers, leafminers, shoot borers, or cause plant galls. Adults can be found on flowers.