I will note that I am outsider with an interest in macroeconomics, and so this attempt at an answer only applies to the situation in macroecomics as I see it.
There are effectively three questions here.
- Was Roehner right (in 2002)? As I discuss below, this question is the most critical, but any answer is going to be controversial.
- Has the situation changed since 2002? I don't see any reason why this would be true, but see discussion below.
- Are there journals that are keen to publish puzzling empirical data? From the standpoint of macro, that's the wrong question. The right question is: are there articles published on empirical analysis in macro? And the answer is that there is a lot of empirical research published by central banks, supranational bodies, and "think tanks." If you want to see such empirical work, that is where you look - a reality that Roehner's characterisation skips over.
Was Roehner right in 2002? I would decompose his claims into a few levels.
The first level is that the pattern of publications in economics journals (which ones?) is differrent than in physics. I imagine you could look at statistics on the classifications of journal articles, and give an authoritative answer to that question. However, why would anyone expect different academic fields to display the same distribution of article types?
The next level is the question: are there "enough" empirical papers in economics? If you look at developed economy macro, we are only accumulating data points at the rate of 4 quarterly observations per year. Given the general weakness of economic forecasting models, the amount of new "puzzling" data that can be possibly generated is extremely low. There are some empirical puzzles in macro, but the point is that those puzzles have been around for decades, and so there is no value in publishing new articles that just append a few observations to the previous data set. This is a data-generating environment that is utterly unlike the situation in physics. (How many articles on avalanches in sand piles could possibly be published if we only have records of three such avalanches?) Furthermore, such empirical studies largely end up in the central bank research environment, which was excluded by Roehner for unknown reasons. I do not see a good way of publishing authorative study on whether this provides a sufficient weight on empirical work.
(Other areas of economics/finance have less data constraints. For example, finance is heavily empirical. However, the journals Roehner looked at would probably not been the venue for publishing empirical financial papers. That's a defect of Roehner's sampling process, not finance. Some areas are also highly experiment-based, like behavioural economics. My understanding is that these are published in different journals, some of which may have come into existence after 2002. Someone else is going to have to comment on the areas other than finance; I do not think the criticisms carry much weight for the financial literature.)
Finally, one could infer from the quote the implicit criticism that economics journals have a deliberate policy of excluding empirical studies that allegedly contradict the existing paradigm. Such a charge is obviously extremely controversial; in the absence of evidence that such a suppression effort exists, you are not going to get a good answer here. (Can you cite any such "puzzling" data? If not, how do we even know that it exists to be written up in an article?) The controversial nature of this question suggests that it might be broken out into a new, very focussed question. Something like: "what empirical data cannot be observed by standard theories in (some sub-field of economics)?" If nobody here can find anything (that is not in the literature), then it does indicate that there may not be a large potential literature for "puzzling empirical data." That said, the answers will be different for every subfield of economics; there are tons of "puzzles" discussed in finance.