Rose problems - bugs!
Thank you for the question. Boxelder bugs are a nuisance pest and rarely cause noticeable damage to your plants. Insecticidal sprays are generally not recommended for these bugs and they will go away on their own. They are more of a problem in the fall when they try to find a warm place in our houses to escape winter. Adults and newly hatched boxelder bugs feed by piercing sucking mouth parts to get at plant juices. They don't chew holes in the leaves such as seen in your photo so even though you see the boxelder bugs, some other insect is chewing the leaves. Thoroughly scout your rose bush, carefully looking under the leaves and at the branches and stems to find signs of other pests and then use our diagnotic tool to try to figure out what else is going on: http://www.extension.umn.edu/garden/diagnose/plant/annualperennial/roses/
If you find another insect but can't identify it, take several good sharp photos and submit your question again.
Here's our fact sheet on boxelder bugs: https://www.extension.umn.edu/garden/insects/find/boxelder-bugs/
Good luck and thank you for contacting Extension.