Look on the underside of your leaves. You will see little green worms commonly called rose slugs. Just pick them off and squish them.

Yes, that's what causes the skeletonized areas with translucent windows. Some of the damage looks very old, so that generation of worms may be gone.

Thanks guys, tonight I finally was able to get a close look at the culprit, but I'm not sure it's what you're describing. There are little tiny hanging larvae shells all over the plant. Inside these shells are some kind of bug that seems to be wearing the shell on its back as it moves around and eats the leaves. The shell appears to be made of bits of leaf.

Here's some updated pics

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Well, squash those too. You could try a spray of horticultural oil in hopes of smothering them if you do not squash.

Do not use oil if your weather is very hot, because it may burn the leaves.

These are bagworms.

They are extremely aggressive and will easily defoliate your rose and nearly anything else in the yard. We had a terrible infestation on our block and the neighbor had to exterminate. They were eating trees, evergreens, irises, daylillies, and just about anything growing. They were even attached to the tires of my van parked on the sidewalk in front of this yard.
They can be very, very destructive and can easily defoliate large trees if not controlled.

When the exterminator came to this property I happened to be home and he treated not only their terrible infestation of shrubs and flowers, but also treated a couple trees in my back yard where I had seen them start to infiltrate gratis. I was very appreciative as we had them so bad they were everywhere on the block.
I don't ever spray or treat any of my plants (indoor or out) and do handpick almost all pests, but I drew the line at bagworms. The destruction in that yard was terrible by the time it was under control and those things are way too nasty looking that I am not squishing them, no how no way!

Yes, I am scared of the bagworms in more ways than one!!!

Here is a link that might be useful: Bagworms

Thanks for the info everyone...

Indeed I ended up finding quite a few larger "bags" underneath some of my roses. They were the classic pine needle look.

I know some may not like this, but I pretty much doused the small rose bush with Ortho during active feeding time and most if not all of the smaller caterpillar bags were completely decimated. I cut loose the larger ones and disposed of them and have not seen any new ones reappear. The roses are already starting to look much better.

Make sure to check other plants you might have in the area. It took me three years to successfully get rid of them. I used a bioinsecticide during their active season and hand pick the rest off my plants because they were everywhere. Keep a bag handy so you have something to put them in.

It has been way too hot in Oklahoma. Be sure that you have cleaned under the rose, and that you are watering well. Do you see lady bugs or any of the good bugs?

Do you really have bagworms? I cannot tell from looking whether it is jus the little rose slugs or if you have leaves are dying so that they look a little like bagworms.

Sammy

I have never seen these before. Glad I know what they are now so I can keep an eye out for them. Always better to catch these bad guys as early as possible!

You might want to spray with BT (bacteria bacillus thuringiensis)which is an organic spray that only targets caterpillars, specifically these caterpillar devils! Good to know it's time to start my spraying! The bag worms came in on our arborvitae, and I've sprayed the last 2 years, but I'm going to do another safetey spray this year as well.

That's definitely a bag worm. Usually I find them on my Aroborvitaes and Junipers, but a few can end up on other plants as well. They can really do some damage if left unattended and are particularly hard to treat on tall evergreens. Every one of the bags left behind can contain as many as 200 eggs which will be ready to infest your plants again next year. They usually begin to feed and form bags around the first of June in my area of NE OK., so be on the lookout next year about this time. If you can catch them when they first appear BT works as well as anything and won't harm beneficials. You will need to spray more then once to catch new hatchlings. Make sure the BT is fresh. We weren't having much luck with BT and discovered there's a world of difference between fresh and old. Use a spreader sticker. Some people not familiar with our area may not understand just how hot AND humid it is now. So be careful when you spray. You need to spray ideally when the temperature is 85 or below and make sure that in this drought your plants are fully hydrated before you do spray. I've burned plants spraying when it was too hot. Best time of course is in the cool of the morning...Last year we had a major infestation on our Arborvitae and sprayed 3 times with frest BT. This year (fingers crossed) I haven't seen any hatchlings - yet. ........Maryl

Yep these were definitely bagworms. Found them on my red cedar and also on my spruces and atlas cedars. I caught them just in time on most of the trees and was able to pick them off, but my red cedar is nearly overtaken with them.

Not sure how I didn't notice them sooner, I won't make that mistake again. Unfortunately had to napalm the cedar with insecticide and now I'm in the slow process of pulling off the dead bags and also heavily watering the tree to see if it has any intentions of recovering.