There are several reasons that could cause a rose to behave like this so it is hard to say what exactly is causing it. Drying out can cause roses to drop their leaves. This may not happen right away but can happen a few days after. Do you remember if your rose was dry when you purchased it? Too much water can also cause this to happen. If a rose is over watered the roots can get damaged which will cause problems with the plant taking up water. If you allowed your rose to sit in standing water for a few days that could definitely be the problem. Other stresses such as lack of nutrition and sunlight can cause this, but I do not think that this would be the case since you have only had the plant for 4 days.
I suggest to replant your rose up a pot size or two. For instance if you bought a 4" plant, find a 6" or 8" pot to replant in. If you are in an area that receives a lot of sunlight, I would stick your rose outside in direct sunlight. Your rose would also benefit from a light rate of fertilizer every couple of watering's. Too much fertilizer can also be a problem if the rose does not have exposure to sunlight, so be sure to use at a light rate.
If the stems are dry, brittle, or discolored, I recommend to trim those off your plant. This allows the plant to focus its energy on new, healthy growth instead of trying to revive its old stems. If you don't see improvement after a week or two, it would be great if you could attach a picture to our forum so we can better diagnose the problem. Please let us know if you have any other questions and I hope this information helps you revive your rose.