My guess is it's some kind of Hornworm, the caterpillar of the Sphingidae moths, or Hawk moths.
"Identification
Adult - medium to very large. Body very robust; abdomen usually tapering to a sharp point. Wings usually narrow; forewing sharp-pointed or with an irregular outer margin. No ocelli or tympanal organs. Proboscis usually well developed, extremely long in some species that feed in flowers with deep calyxes. Antennae gradually thicken along length, then become narrower toward tip.
Larva - naked except for a few scattered hairs. Most have a prominent dorsal horn at the tip of abdomen (thus the name, hornworms)."
I don't have a good field manual, which would show pics, habitat/range, and etc., but it's closely related to the Tobacco Hornworm.
The Sphinx moths are very pretty. The caterpillars are important pests. Every rose has it's thorn, I guess.
Thanks!