Aphids don't make holes in the leaves; they suck sap from the tender shoots. Generally they don't do serious damage.

If you are seeing small to medium angular holes in the leaves, with skeletonization or translucent "windows," it is rose slugs. These are small green worms that can be wiped off the underside of the leaves. Or you can spray with Safer's soap, getting full coverage of the underside of the affected leaves.

If you see large ragged tears in the edge of the leaf, it is larger caterpillars hiding in the foliage near the sites of damage.

One of the best ways to deal with aphids is simply to wash them off with water -- a steady stream of water, not a forceful spray.

I ignore the aphids. They get pretty heavy, then all of a sudden the ladybugs start to appear, and the aphids start to disappear.

I haven't seen them do it, but I've heard hummingbirds also eat aphids. We put up a hummingbird feeder and even if they don't eat the aphids they're a welcome addition to the garden.

The OP isn't talking about aphids.

Erin, you asked what will happen if you do nothing. If it is rose slugs, in my garden they are controlled by paper wasps picking them off. If you don't have those, the rose slugs can make a second generation and continue eating your leaves.

We don't have paper wasps here. (And I don't want any!)

When we have had rose slugs, I try to find them and squish them. But at intervals during the year, clouds of little grey bushtits appear. They swarm all over the plants, eating aphids and rose slugs, and when they move on, the plants are pretty clean.

While you're waiting for bushtits or wasps, I'd recommend turning over leaves and looking for the eeensie green worms on the underside.
I get great satisfaction out of killing them.

Jeri

Aphids do only 'cosmetic' damage: they are ugly to see and suck sap only from the most tender shoots.
Basically they don't do any serious damage to anything.
It's just ugly to see such revolting little animals on a beautiful rose.

michaelg, you get an "A" in reading comprehension.

Ok, so after reading all of the posts, I'm thinking I have rose slugs. The holes are sm to med. all over the leaves. Michaelg, thanks for the advice.Can you give more details on spraying w/Safer's soap? I don't know anything about paper wasps, or if we have them in my area.

Just buy Safer's Insecticidal Soap (concentrate, not RTU) and a one-gallon tank sprayer if you don't have one. Follow the directions and be sure to cover the lower leaf surfaces in infested areas. It will kill aphids too. Allow 24 hrs to kill.