How intruiging, I have no idea, but hope someone comes along with an answer!

Not a nest but a burr actually growing from the rose.

We used to find these as children on the wild roses, they were called Robins pincushions! Actually a gall from a little grub.
Check out Wikipedia at the following.
http://en.wikipedia.org/wiki/Gall_wasp

Thank you to all who replied it is nice to know what the "nest" is.