They look like bagworms to me.

Not sure if it is bag worm... but on the rose limb on the right side of the photo it appears that you have a borer.... not sure what kind it is.... but it looks like it has started boring into the limb.... you need to cut below where the borer is located or it will continue to kill the limb... once you have cut down down past where the borer is located and you are in good pitch seal the limb with white Elmer's glue..... you also want to cut right above a leaf node so the rose will put out a new branch.

I was thinking bagworms too.

http://entnemdept.ufl.edu/creatures/MISC/MOTHS/bagworm.htm

Thanks, I never knew what was in that cocoon.