Why do roses smell?

The how is simple, roses smell because they have perfume which is a mixture of aldehydes, ketones and other aromatic organic molecules.
The why is a it more complex. Initially roses evolved to have an odour to attract pollinating insects to the blossoms. If the insects didn't know where the flowers were, and couldn't see them, despite the colours of the blooms, the plants would not be fertilized and would not produce seeds.
Man had a hand in the process. As the rose became more domesticated gardeners seectively bred for prettier flowers and more pleasant aromas. In recent times the desire to make hardier flowers which would be safely transportable to makets has down played the aroma in favour of durability.