Although Monarchs are largely protected by their orange and black cloak (see Monarchs and Mimicry blog post), on an everyday basis members of the MMP do see Monarchs that unfortunately aren't going to make it to Mexico. Some have lost large portions of wings from snagging themselves on plants. Others have perished in the hands of predators. In Cape May, the most abundant predator of the Monarch appears to be the Chinese Mantis. This Praying Mantis lies in wait in the plants where Monarchs nectar, such as the Joe Pye Weed or Butterfly Bush, or even waits in the trees and ivy where the roosts are formed. Then they pounce quickly and snatch up an inactive, unaware Monarch. Mantises do camouflage well, so your best bet to find one is to look for Monarch wings on the ground (they only eat the thorax and abdomen) and then search higher up on the bush to find the culprit.
However, many other creatures, including some vertebrates, will eat Monarchs given the chance. These vertebrate predators live at the overwintering sites in Mexico and have adopted different strategies to cope with Monarch toxicity and take advantage of the enormous food source present for half the year. The Black-Headed Grosbeak has evolved an insensitivity to the poisons contained in the Monarch and has no problem eating the entire abdomen. Another bird, the Black-Backed Oriole, carefully dissects the Monarch's body and eats the poison-free soft tissues inside, avoiding the more toxic body parts. Finally, the Scansorial Black-Eared Mouse has also developed a tolerance to Monarch poisons. On average, an individual mouse consumes 37 Monarchs per night, with over 1,000,000 Monarch consumed by the mouse population each year! With very little other competition for this food source, it is obvious why these two birds and mouse species have come up with way to deal with the otherwise distasteful and deadly Monarch, giving them millions of free meals each season. (Source: Predation : At Overwintering Colonies (Monarch Watch))