Many new to growing Monarchs soon run into this issue. They go out and pick leaves of what they think is milkweed, but their caterpillars begin to die and they don't know why. Your milkweed isn't milkweed, it is dogbane.
http://www.countrysidemag.com/issues/87 ... hayer.html
Milkweed
A truly remarkable wild vegetable
http://www.lifestrands.org/pages/monarc ... _tips.html
Good tips for growing monarchs and identifying dogbane
http://www.stoptheride.net/2007/05/comm ... s-and.html
Good picture of dogbane and milkweed side by side. They often grow together. They are in the same family.