No, the warded creature would not be alerted.
I'll emphasize the key text from the Sanctuary spell:
Until the spell ends, any creature who targets the warded creature
with an attack or a harmful spell must first make a Wisdom saving
On a failed save, the creature must choose a new target or lose the
attack or spell.
From your example, I'm assuming that the rogue has successfully Hidden from you since you imply that you don't know they're there.
If the Rogue fails their Wisdom save, then they are unable to target you. Since targeting happens before the actual attack, and since stealth is only broken as a result of an attack, they'd remain hidden.
Well, unless they did something else to break their stealth of course, such as jumping from the bushes yelling "DIE MONK SCUM!!".