I'm in zone 6a and that is very common here for Ko's...
New leaves will take there place in the Spring without worry...

All around the country this has been an odd winter, and roses are doing things they haven't done in other years. As far as leaves, if you're in zone 5, you've undoubtedly had some of the wicked cold that has been hitting the nation, and your Knockout roses are as dormant as they're going to get. Sometimes the dead leaves fall off on their own, and sometimes they need to get pushed out of the way by new leaves in the spring. Our huge oak tree does the same thing of hanging onto dead leaves well into the spring, so we have the lovely chore of raking in the spring when everything starts growing.

Either way, the leaves aren't not doing any harm where they are and they'll fall off at least by the point the rose starts growing. They're also not doing anything particularly useful for the rose, so if you wanted to neaten them up you're free to pull them off. For me, that's way too much like work and not at all needed. Just let 'em be and consider them "winter interest". Sure a lot more interesting than miles of ice and snow, eh?

Cynthia

Some of them will blow off by spring. When you prune you'll probably take off a lot more. What ever is left you should remove. Some of my roses drop all their leaves nicely for me but others hold on to them for dear life. I've found though that after I have to prune off the winter damage there usually isn't a whole lot left to pull.