All kinds of critters are trying to live their lives, and often need to eat our shrubs and plants in order to do so. Depends what kind of holes you mean as to what's causing the trouble - could be caterpillars or leaf cutter bees, for instance. Whether you want to treat for that is another matter - if its not many leaves and its not decimating the look of the plant, then a philosophical approach might be best - a few minor holes in a well foliated plant won't damage the plant itself. If you are worried, though, post a photo on here next year when it happens, or inspect the rose carefully to see what pest you can find.

If it's leaf cutter bees the holes they make are very neat and round. They are solitary bees and take them for nesting. They like roses although I've also found similar holes in tutsan. Bees in general aren't doing too well at the moment so if it's them I'd say live and let live.