Tussock caterpillars become moths after they eat a while. Do not try to pick them up, their hairs have a powerful sting. Is it just the one or do you have a crowd defoliating the rose? You could knock them off into a bucket of soapy water or there is a spray specifically for caterpillars that will not harm bees or other beneficial critters.
There are masses of them. They've eaten pretty much everything on the bushes. I'm worried about someone getting hurt as it is by a walkway, other wise I would just wait and let them go to moths. What is the spray called?
I don't know the name of it, you could call a garden center (not necessarily a big box store) to ask if they have a name and the product. I found one on Amazon called Safer, I also read your can sprinkle BT on the ground and when the caterpillars crawl through it it dries out their insides.