Unfortunately it cannot be found in nature. Like the blue rose, we need to dye each stem of white roses. If you look after this topic on the internet, there will be some ideas how to make rainbow roses at home. You need to cut the stem into four, then put each piece into yellow, red, purple and blue colored water. (You need purple to avoid the red and blue make brown)
I decided to try it out, and since I was having rose dye instead of food coloring, I was very confident. However I just had three from the four required colors. Finally, after approximately three days, my rainbow rose was like this: (Unfortunately it lost almost all of its leaves :((
Others were not so lucky either:
I was told recently that probably the rainbow roses are dyed when the roses are budding. I should be a rose breeder to get more knowledge (and success), but I don't want to. In spite of this, it is very exciting to watch how the dye is getting into the leaves, but unfortunately I should not expect similar results as the "real rainbow" rose.