Caterpillars are very adept at finding places where their chrysalids will blend right in, so well that you don't know you're looking right at them. Unfortunately, some do get eaten, though.
Note: butterfly larvae don't spin cocoons; they have naked pupae, or chrysalids. Many moths make their chrysalids inside a cocoon, which is just the silken "sleeping bag".

With the BSTs I've had, sometimes I've had to look a bit before I could see the chrysalis, even though I knew where they were! Makes me wonder how they manage to get discovered and eaten by a creature who probably can't see nearly as well as I can.