Baby monarch in progress!

A few days ago we noticed a monarch caterpillar on a rose bush. We thought that was odd since all the others we've seen are on the milkweed we planted just for them. Hypothesis: maybe the caterpillars go to a different plant just before the chrysalis stage? But then why choose a plant 20 feet away from the milkweed? Any bloggers out there have the answer? 

Here is one little guy (maybe the same one?) on the milkweed:

And here is the chrysalis we found:

Can anyone solve our little mystery??