Caterpillars that chew holes and tunnels through your rose blooms are referred to as bollworms.
A female moth lays her eggs onto the usually still closed bud. When the caterpillars hatch from their eggs they start feeding on the blooms.
As they feed they grow and go through various instars before they eventually pupate in the ground and fulfill their life cycle by becoming moths.
The only way to prevent or cure bollworms is to spray with a suitable insecticide: Plantcare or Cyper
A close up of a bollworm and damage caused to a bloom by it.
One needs to spray thoroughly into the bloom and onto and all around the buds.
Bollworm & its droppings