The long-range migration of monarch butterflies, extended over 4000 km, is not well understood. Monarchs experience varying density conditions during migration, ranging as high as 3000 m, where the air density is much lower than at sea level. In this study, we test the hypothesis that the aerodynamic performance of monarchs improves at reduced density conditions by considering the fluid-structure interaction of chordwise flexible wings. A well-validated, fully coupled Navier-Stokes/structural dynamics solver was used to illustrate the interplay between wing motion, aerodynamics, and structural flexibility in forward flight. The wing density and elastic modulus were measured from real monarch wings and prescribed as inputs to the aeroelastic framework. Our results show that sufficient lift is generated to offset the butterfly weight at higher altitudes, aided by the wake-capture mechanism, which is a nonlinear wing-wake interaction mechanism, commonly seen for hovering animals. The mean total power, defined as the sum of the aerodynamic and inertial power, decreased by 36% from the sea level to the condition at 3000 m. Decreasing power with altitude, while maintaining the same equilibrium lift, suggests that the butterflies generate lift more efficiently at higher altitudes.