We saw this on our earlier walk this morning, trying to avoid the excessive heat later in the day.

It's a Robin's Pincushion aka Bedeguar Gall or Mossy Rose Gall and is an abnormal development in wild roses, particularly Dog Roses., caused by larvae of a tiny Gall wasp laying eggs in developing leaves. 
Adult wasps emerge from the Gall in May, most are female and capable of asexual reproduction.

It's 29c at 17.15, I'll probably try some deadheading after dinner when it might have cooled down a little, (haha, some chance)