my guess would be earwigs

Problem:Holes appear in unopened rosebuds. Leaves and stems may also have holes or may be chewed off.

Cause:Caterpillar damage
Caterpillars, the larvae of moths and butterflies. Most are yellow or green and up to 1 inch long. Some, such as budworms, attack only the flowers; others eat the leaves and stems.
Solution:Spray with Bacillus thuringiensis, called Bt, a bacterium fatal to caterpillars but harmless to plants and other animals.

Here is a link that might be useful: rose pests