They are likely to be sawfly larvae, known as rose slugs. The winged adult is a type of wasp.

Sawfly larvae most likely. They will turn into an ugly tan and black, wasp looking flying pest and nuisance. Pick the bugs off and squash them gleefully.

If you look closely further down the cane of the rose, you will likely see a black section and lesion. This is where the larvae hatched from. The adult sawfly lay's eggs right into the tender new rose canes and these worms hatch from there and eat all the tender new growth and buds.

They are a nuisance here at this time of year.