Rosa and Holt have many similarities. Both are hard to read and can be intense at times. They became close when Rosa started dating Holt's nephew, Marcus. This friendship continued to develop even after Rosa broke up with Marcus. At one point in season 3, Holt invited Rosa to walk into a frozen lake with him to celebrate Christmas. Holt also helped Rosa when her fiancé's life was threatened and he had to flee.
They have also worked many cases together and seem to have similar ideas on what to do in them