I remove unsightly old leaves if they bother me. The rose will drop them eventually of course.

You may do as Sheila suggests, if you wish, however, if there is still "green", that tissue is contributing to feeding the plant. I take the opposite approach. When I detail gardened for clients, I would actually explain how the green fed the plant, ask their preference and follow it. In my own garden, if it's green, I leave it alone. And, yes, the plant will eventually shed all the foliage, so I allow it to tell me when it's finished with it.

Many thanks! I'm actually a lazy gardener so I'm ok leaving them if it doesn't hurt anything.

What Kim Said.