Milkweed is Caterpillar Food

We should all plant milkweed so the butterflies, especially the endangered Monarchs, have food for their larvae. I bought a pine leaf milkweed at Desert Survivors and was enchanted to see that it came with a Queen butterfly caterpillar. I watched it chomp on the leaves for five days, but now I can't find it. Maybe a bird got it, or maybe it has made a cocoon that I haven't located.