Sounds like a gall of some sort - usual one on roses is Robin's pincushion, but you didn't describe any colour - these are normally red or straw coloured.

Sounds to me like a wren's nest....does it have a little hole in it as an entrance? Male wrens build several nests and then his mate picks the one she prefers. I found one in a hanging basket of mine once, but the wren didn't use it.

I'm with Sid on this one...

I'm not sure about that guys - how would a wren 'firmly attach' its nest to a branch and why would it be 'hard'?

Without a pix we won't ever be able to give a firm answer... As the male wren will create up to 12 potential nests and only the one that is used gets properly furbished the others will seem quite solid or 'hard'

Yep, photo would be very useful...

Vonnyt, there's a new question today with a photo, and it shows a gall, see if it looks like yours

http://www.growsonyou.com/question/show/292336