if the holes in the rose leaves were like someone had cut a circle out of them, then congratulations- you’ve got leafcutter bees using them.
If not and you can see the caterpillars- they need to eat too.
As someone said, if nothing is eating plants in your garden, it is not part of the ecosystem.
If they are doing only a bit of damage the roses will be ok. If it’s lots, hopefully whatever eats the caterpillars will be along soon.