Japanese Beetles are another possibility. You will have to keep a closer eye on your roses and catch the pests in the act. Check other nearby plants for damage.

I have been looking for worms or any other pests underneath the leaves but no luck yet. Is there any spray that I can use?

Could be Rose Slugs or a type of caterpillar....

First you should ID exactly whats causing the damage... Spinosad or Safer soap would work on both...

BT sprays only work on caterpillars...

You can also pick them off bush etc....

But if you can not find any then they are probably already gone....

Katydid’s and grasshoppers will do that type of damage. When Japanese beetles feed they skeletonize (sp) the leaf leaving the veins untouched. You also have at least a couple of spots that resemble leaf cutter bees. The only idea that I can think of is netting. I’ve never had that much damage to one rose. Sometimes when a lot of insects are going after the same plant maybe protecting it is all you can do. I just don’t know. Anyway the damage will probably stop before they kill the poor thing.

On the right hand side of your photo there are 2 dead canes that are coming from a single cane. Your rose will be better off if you prune away that dead growth.

Roseslug sawfly larvae, or whatever you call the little green worms. Look for little worms coiled up either under the leaf or next to the cane. If you don't have too many rose plants you can just squish them between your fingers..... yech.... but it works. The more you squish the less you will have next season.... have fun.

Go here to confirm:

http://bugoftheweek.com/blog/2018/5/21/rosie-defoliators-roseslug-sawfly-iendelomyia-aethiopsi-and-curled-rose-sawfly-iallantus-cinctusi

Thank you all for your time and suggestions. I will keep looking for any pests and also get some sprays.