It's some garden pest. You could spray a hort oil or insecticidal soap on the whole shrub per label instructions. The pest prob won't harm the plant. Also, for next year, perhaps spray once a month starting in the spring and that should prevent the sawfly (or whatever it is) from attacking the shrub.
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We bought three "Knock Out" rose plants this summer at Home Depot. Something is eating them up. They still bloom, so its not too late to figure this out...