Never seen anything like that maybe someone else has and can help you...

But are those canes dead? If so they need removed...

It looks like some kind of insect nest to me - ?

I get those on my Dupontii. I think it is an insect nest. If you pruned them off and burned or discarded them, you might interrupt the insect's life cycle.

AnneCeclia is quite correct; its a Moss Gall caused by a wasp larva. Its unsightly, but inconsequential as far as the plant's health is concerned.

IMO the darned things spread (annually) and at some point weaken the rose. I lost an R. eglanteria after the mossy galls were on all the smaller canes. It died. That took two years. Otherwise, the rose was healthy.

Odd thing, I don't know where the wasps came from, but it had to be some distance as there aren't any people within five miles of me who have any of the roses that are known targets of the wasps.

Thanks so much for the answers! I didn't even think of it being a wasp. very intersting. I'll be sure to prune out the dead stuff later today.