No coffee grounds won't hurt roses as long as you use the coffee ground correctly when putting them around the roses.
If you put the coffee grounds right next to the roses then the coffee grounds will hurt the roses and cause the roses to get a nasty nitrogen burn which can kill the roses.
When putting coffee grounds around the roses you should spread them out around the roses so that the coffee grounds are 1 to 2 inches away from the roses.
That way the coffee grounds won't actually touch the roses and won't burn them.
If you put the coffee grounds around the roses correctly then the roses will actually do much better because roses love coffee grounds.