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A gender role is a category created by a society to define how different people are useful to the society. For example, a hunter-gatherer society often has three gender roles: women gather vegetables and weave baskets, men hunt animals and make stone tools, and third gender people do some skills from either of those roles, based on their ability. Gender roles are a part of gender that are prescribed by society, outside of one's self. Even if a person does get a choice about which gender role they take (in societies that recognize transgender identities), and even if they are allowed to be a little different from the standard idea of that gender role, the rules of that gender role are still made by the society, not by the individual. This is in contrast with how the individual is the only one who can recognize their own gender identity, which may have little to do with society's rules.
Western society recognizes only two binary gender roles: women and men. This is a significant challenge for people who identify as nonbinary in Western and Western-influenced societies, because the absence of a socially-recognized nonbinary gender role to step into means that it's difficult or impossible for their society to fully recognize the validity of their nonbinary genders. This is part of what fuels nonbinary erasure, a kind of discrimination against nonbinary people. The absence of a nonbinary gender role in Western society is part of binarism, an intentional form of racist oppression meant to erase other cultures and ethnicities that recognize gender-variant identities and roles.