This is damage we commonly see earlier in the summer, though it can still occur this late into the season. This is Roseslug Sawfly (despite the name, an insect that is neither a fly nor a slug), and they are a very common nuisance pest on roses. Management is not needed this close to autumn leaf drop, because no serious harm is caused by the leaf chewing, but options for future sawfly outbreaks, if they appear in another year, are included in the linked page.

Miri

Ah, thank you.  That's them.  Roseslug Sawfly.  I will review the management tips for next year.  We actually still have roses budding on the plant though. I assume this damage stresses the plant out to some degree.  

You're welcome.
It doesn't stress the plant too much, particularly late in the growing season since the plant has had all summer to photosynthesize and store energy.

Miri