Could be sawfly larvae (rose slugs) or earwigs, or maybe even small snails doing the damage. Usually these pests like to do their munching after dark when it's cool and damp. Have a look with a torch when the sun goes down, and see what's attacking the leaves. You can then maybe pick off any caterpillars and dispose of them humanely or inhumanely! I reckon the problem is likely caused by earwigs though, because caterpillars would probably eat more substantial chunks, rather than holes. Earwigs, like slugs, hide in crevices and under stones and pots, so it would probably be difficult to eradicate them completely without resorting to insecticide. I remember reading about how traps can be made for them from, hollow tubes or canes. I have an old Victorian gardening book, so must check that out. On the bright side, Apart from the leaf damage, the foliage of the roses looks good! No evidence of blackspot or yellowing. Watch out for aphids though which can cause serious damage to bushes.
I've never tried killing earwigs and apparently (doing a quick Google search), pest control companies advise that unless hiding places are eliminated and shading from trees, bushes and climbers is reduced, insecticide is not very effective.
I agree w/ Eugene that it looks like sawfly larvae (rose slugs.) The earlier you treat the plant, the better the results. The safest (natural) controls would be insecticidal soap or spinosad like Bonide's Captain Jack's Dead Bug Brew. Both are fine for organic gardening:)
Earwigs can be treated with deltamethrin (generic name for the insecticide). Alternatively you can place upturned flower pots filled with hay or straw on canes near your roses. (Dry long grass would probably be a good substitute).