Well I learnt something! From the USDA website:

Migration and Overwintering
The annual migration of North America’s monarch butterfly is a unique and amazing phenomenon. The monarch is the only butterfly known to make a two-way migration as birds do. Unlike other butterflies that can overwinter as larvae, pupae, or even as adults in some species, monarchs cannot survive the cold winters of northern climates. Using environmental cues, the monarchs know when it is time to travel south for the winter. Monarchs use a combination of air currents and thermals to travel long distances. Some fly as far as 3,000 miles to reach their winter home!

Where Do Monarchs Go?
Monarchs in Eastern North America have a second home in the Sierra Madre Mountains of Mexico. Monarchs in Western North America overwinter in California.

Eastern North American Population
Overwintering in Mexico

The eastern population of North America’s monarchs overwinters in the same 11 to 12 mountain areas in the States of Mexico and Michoacan from October to late March. has

Monarchs roost for the winter in oyamel fir forests at an elevation of 2,400 to 3,600 meters (nearly 2 miles above sea level). The mountain hillsides of oyamel forest provide an ideal microclimate for the butterflies. Here temperatures range from 0 to 15 degrees Celsius. If the temperature is lower, the monarchs will be forced to use their fat reserves. The humidity in the oyamel forest assures the monarchs won’t dry out allowing them to conserve their energy.