Rose slugs on the undersides of the leaves are grazing off the lower cuticle of the leaf.. Check several threads below about foliar damage.

Sorry, I now see there aren't any rose slug posts on the front page. They are pale greem worms, sometimes tiny or up to one inch. Having just a few roses, you can control these by just wiping them off with your thumb. Sometimes paper wasps and other predators will clean them up for you.

The larger holes could be made by a larger caterpillar who might be hiding in the vicinity.

Thanks a lot!