I have been asked this question at least 200 times! Probably more. You can make rosé out of any dark skinned grape. When we say dark, we mean those grapes that have a red/blue/black/purplish color.
The juice inside a wine grape is clear regardless of the color of the skin. (For those who want to be ready for Jeopardy, there are a small number of grapes called Teinturier grapes that do have reddish colored juice, but they are very uncommon.)
To make white wine, we squeeze the juice out of the grape and ferment just the juice. To make red wine, the juice is fermented with the skins of the grapes and that is where the color comes from. During fermentation, the color property, called anthocyanins, is extracted from the skins. So it's possible to make, for example, a white cabernet sauvignon. You don’t see that very often, because it is rather boring, so it is much smarter to make cab into red!
So how do we make rosé, you ask. We start to make a red wine with the juice and skins fermenting together. After a short time, maybe a few hours maybe a couple of days, the liquid is now pink. At that time, we take the liquid away from the skins and keep the liquid fermenting to continue on and become the rosé wine.