Rome (or the Roman empire) did not invent columns; and it is not exactly known who did. We know for sure that the Greek civilization (which has its peak before the Roman time) used columns extensively, and many are still conserved today.
Looking earlier still, Egyptians (whose civilization came before the Greek one) also used columns extensively, but even they might not have been the first, as Columns were also found in other cultures, such as in Mesopotamia.