It is possible but there are very few rose bonsai. Their growth habit is not very compatible with bonsai methods and goals. I have never seen a rose bonsai in a show in the US and I go to a lot of shows (in CA). Lynn Perry wrote a very good book on bonsai back in 1964 (Bonsai Trees and Shrubs)and she mentions rose bonsai but recommends that wild roses be used and you should start with an old collected rose. That is where I would start. They are more suitable because their leaves and flowers are smaller and if you are very selective you can find one with a nice big old trunk.