If it wasn't grafted it'd be fine but the grafts are the weak points on an otherwise hardy variety.
The grafts are subject to freezing and separating where the two slightly dissimilar tissues join. Any moisture between the two that freezes in really cold temperatures can force them apart. When that bond is broken, there is no way for moisture and nutrients to travel to the leaves and upper canes.
Therefore you should move the tree rose into an unheated garage or shed for the winter.
If planted in the ground, this will be difficult so burying it would be an easier winter protection. You'll need to dig a trench as long as the tree rose is tall. Cut the roots on the opposite side and lay the rose over into the trench. Do this after it's gone dormant. cover it with soil or compost then top with a layer of mulch or leaves.
Be careful next spring. Many are lost due to careless use of the shovel when digging up.
If buried too early before mice and voles have found their winter nests, they'll use it for their winter food store and eat all the bark off the canes. I had this happen the first year I tried a tree rose. I dug it up in spring and found it almost completely bare.
In cold winter areas, it's best to plant in very large pots and move them around with a dolly.

I have Polar Joy and, even though it's suppose to be hardy to minus 30, it's in a really large tree pot that's moved into my unheated greenhouse in early winter. Polar Joy has no grafts. It's all one bush.

Karl pretty much nailed it! I keep my potted Baby Blanket tree rose in my shed over winter. I deliberately potted it because I knew that top graft would not winter here if the rose was planted in the ground. I stuff the graft with crumpled newspaper, wrap the entire plant with burlap and then pull one of those big lawn and garden paper bags over the top and roll it into the shed. It's on one of those wheeled pot trolleys for just that reason. If your is potted and you're putting it in a garage or shed make sure you water it some about once a month over the winter. Even if the soil is frozen solid. I put a shovel full of snow on the top of the soil every time I shovel the drive. I've wintered mine for 4 years this way.