First of all, don't panic, yellowing leaves isn't usually a sign of impending death unless it goes on for a long time (brown or black, on the other hand, are not particularly happy colors for roses). It could be that they're recovering from replanting, or more likely, from finding themselves with a bit too much water to drink in their new, larger homes. Let them get just a bit dry before watering again (not totally dry, but the very top of the soil should be slightly dryish on top and the pot should feel quite a bit lighter than when it's wet); this often seems to help new plants' roots adjust and breathe after their first transplant, when they're small and fragile, and these deep (but not frequent) waterings help to prevent root rot in most containerized plants. I would also give them as much direct sunlight indoors as possible - remember that sun coming through a window is already filtered quite a bit by the glass, so anything less than that is truly shade as far as the rose is concerned! This will also help them speed up their use of some of the excess water in their potting medium, if there is any.

What have you given them to eat? Sterile potting mix doesn't contain any nutrition. Neither does coir. They are fine for rooting, but at some point the cutting runs out of stored energy.

I think the issue is a lack of humidity. The ziplock bag method insures high humidity: you need to gradually acclimate the roses to normal humidity by opening the baggie for short periods of time each day, gradually lengthening the 'time open'. Plus, your house has very low humidity in the winter anyway. You can help by misting the foliage with water several times a day.

One thing I did do is acclimate by opening the bag slowly but I haven't done the other things so I really appreciate your input. All is not lost...they're not black yet!!

Also, at this time of the year, spider mites can attack. Indoors. In east TN.
I make temporary waxed paper covers for the 'soil' and then rinse off the leaves, esp the undersides.

Be careful about feeding the newly rooted cuttings, it should be diluted. I made that huge mistake a few years ago. I mixed a little llama manure and alfalfa meal with the potting mix when I potted them. I lost 92 rooted roses as a result.

Kathy