Wasps: It is not uncommon to find a caterpillar with wasp eggs on it in the wild. The female wasp flys around looking for prey, and when it finds it, it lays multiple eggs on the larva. Sometimes the eggs are big, and sometimes they're like a pin head.
Cecropias in 4th and 5th instar seem to be extremely susceptable to wasps. If you find any in this stage, it will often have wasps eggs on it. It IS possible to remove the eggs and still have the caterpillar make it to the adult stage. If you happen to find it at just the right time, that the wasp's eggs have not yet hatched and burrowed into the larva, you can easily knock the eggs off with a pin. I have successfully done this with atleast 3 Cecropia caterpillars I found in the wild. But there are no guarantees, you may think you got them all, or got them before they hatched, and come spring, you may be surprised to find you did not when a wasp hatches from the cocoon instead of a moth.
Birds: Birds are probably one of your worst enemies when you're raising moths. They are everywhere, and once they spot the larva, it's gone. It is best to keep a net on any branches that have larva in them. Even if you do, a bird may peck through the net, killing the larva. But a net dramatically reduces the chances of a bird seeing the larva.
Prometheas (mainly in final instars) seem to be a very good target for birds. They are white, so easy to see, and they also don't stop eating during the day, so that movement makes it easier for birds to spot them.
Rodents: Make sure you keep your cocoons where rodents cannot get to them. If you have them outside in a patio like area, you want them in a closed container. A mouse or chipmunk will chew through a screened container, and carry your cocoons away. Once they're gone, they're gone.
Other Insects: Other insects seem to be prey on larva an awful lot too. Especially if you don't have a net on your branches. But even if you do, they get inside the net, and then attack them when you put it back on. I have also seen them attack through the net, if the larva is close to the side, so you may want to think about that when designing your net. When you put your net on, make sure you look inside it and clear it out, because there might be a spider or other harmful insect inside it, waiting to eat your larva.