Found on the stem of my climbing rose bush early September (San Diego, CA USA)
Your caterpillar is a salt marsh caterpillar.
The caterpillars do vary a lot in color and look like several fall fuzzy caterpillars, but with a black face like yours, then you know it is a salt marsh.
These caterpillars feed in gardens, fields, meadows, roadsides, etc. They eat a wide variety of plants including garden plants, pigweed, mallow, alfalfa, soybeans, etc. They are not considered a pest.
The larva are found wandering in search of food, but in the fall it may be looking for a place to overwinter. Then in spring it will pupate and then turn into a white moth.