No, they're the caterpillars of the mullein moth. Lovely, aren't they. The moth is quite drab by comparison. I know what you mean though by the likeness to monarch butterfly caterpillars. They're similarly chunky and the colours aren't a mile off. We used to keep monarch caterpillars, on milkweed, to chrysalis stage and then emergence as imagos when I was at school in Auckland.

Thank you so much for your information.