That is the caterpillar of a Black Swallowtail. They feed on all carrot relatives from Anise, Carrot, Parsley, Dill, to Fennel. If you startle the they protrude two bright orange "horns" from their head that emit a very odd smell like that of a stink bug only different.
Monarchs only feed on species of Milkweed (Asclepias).
Jon