Aerodynamic efficiency behind the annual migration of monarch butterflies, the longest among insects, is an unsolved mystery. Monarchs migrate 4000 km at high-altitudes to their overwintering mountains in Central Mexico. The air is thinner at higher altitudes, yielding reduced aerodynamic drag and enhanced range. However, the lift is also expected to reduce in lower density conditions. To investigate the ability of monarchs to produce sufficient lift to fly in thinner air, we measured the climbing motion of freely flying monarchs in high-altitude conditions. An optical method was used to track the flapping wing and body motions inside a large pressure chamber. The air density inside the chamber was reduced to recreate the higher altitude densities. The lift coefficient generated by monarchs increased from 1.7 at the sea-level to 9.4 at 3000 m. The correlation between this increase and the flapping amplitude and frequency was insignificant. However, it strongly correlated to the effective angle of attack, which measures the wing to body velocity ratio. These results support the hypothesis that monarchs produce sufficiently high lift coefficients at high altitudes despite a lower dynamic pressure.