I noticed some of my roses have this white/grey dots on the leaves. It feels like something is sucking the juice out of the leaves and left a thing layer only.
Appreciate your help.
That's exactly what's happening. Rose slugs are tiny green worms on the undersides of the leaves that suck the juices out and cause those dots. You can pick them off but that's really hard or you can try a hard spray of water to the undersides of the leaves or get an insecticide for them.
Yes, it is rose slugs. These are not really slugs, but sawfly larvae. They scrape off the bottom surface of the leaves and leave these translucent windows. As they mature, they will make holes and can skeletonize the leaf.
If you have only a few roses, just wipe the bottom surface of affected leaves with your thumb. Predators often bring rose slugs under control after a while,
To add to mg's comments, if you can get out there and wipe before too much damage is done, they don't multiply and make things worse. Quicker you can smash them the better. Wear some thin nitrile gloves if squishing bothers you.