This looks like a gall. At first I thought that it was the common rose bedeguar gall, also known as Robin's pincushion gall which is caused by Diplolepsis rosae, a small wasp. However, there is a related wasp, the spiny rose stem gall wasp Diplolepsis spinosa, which attacks _Rosa rugosa_ so I imagine this is what you have here.
Incidentally, you are probably wondering what bedeguar might mean. According to the OED it derives from a French word _bédégar_ which in turn comes from the Persian _bād-āwar_ ('wind-brought’).