Most of them, like many other insects, are poisonous and make any animal that eats them ill.
While some insects synthesize their own poisons, monarchs sequester poisons, cardiac glycosides, from the milkweed plants that they eat in their caterpillar stage.
Cardiac glycosides, which are related to digitalis, a drug used to treat heart problems, are deadly poisons. But, fortunately for the predator that eats a monarch, the dose that causes vomiting is a little lower than the deadly dose.
Thus, the predator is sickened but eliminates the cardiac glycosides from its body before they do any serious harm.