Photo below shows a Milkweed leaf where an egg has hatched, and the tiny caterpillar has eaten the egg, and spots on the surrounding leaf. If you are able to find a milkweed leaf with these tiny holes there is likely a tiny caterpillar nearby. As you can see they are very small in their first few days of life. As they grow, and eat more and more, they become bigger and bigger and are easier to spot, but many do not last that long. They are eaten by beetles, or even other caterpillars. Most eggs simply do not make it to adulthood.