Answer: Milkweed plants contain a poison that caterpillars use as a defense. The juice they ingest makes them less desireable to predatory birds and insects. Milkweed feeding butterfly larvae tend to have fleshy filaments at each end, so yours may be cousins to the Monarch or Queen (family Danaus). I'd consider these to be 'good guys' and wouldn't try to control their populations.
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