Roses, common problems, leaf damage
Skeletonized leaves on rose bushes is caused by the larvae of the rose slug, a kind of sawfly. Sawflies are dark, wasp-like insects about 0.25 inch long. They lay their eggs in the foliage of the plant; the larvae, which are about 0.5 inches long, do the damage to the leaves.
There are different kinds of sawflies, with different target hosts. For example, the pear sawfly larva skeletonizes the leaves of most fruit trees. Read more about the different kinds of sawflies.
Your rose can tolerate some damage from the rose slug. Prune damaged foliage and stems. There are natural enemies of the larvae - parasitic wasps, predaceous beetles, or fungal and viral diseases commonly kill sawfly populations. Avoid using broad-spectrum insecticides because they also kill natural enemies. You can also use insecticidal soap or horticultural oil to kill the rose slug, but these insecticides work on contact, so be sure to spray on the underside of the leaves where you see the larvae. Insecticides may damage blossoms.