These caterpillars, called orange dog caterpillars, are the larvae of the Giant Swallowtail butterfly. Don’t worry though, the caterpillar does not eat a lot, so your citrus tree will still bear fruit and have plenty of leaves left. If you try to touch or pick up the caterpillar it will stick out a bright red, tongue-like appendage, called an osmeterium, which produces a strong odor to keep predators away. The butterfly is very beautiful, unlike the caterpillar. If you have the orange dog caterpillar on your citrus tree it does not warrant using a pesticide to kill it. 

Additional Resource

http://edis.ifas.ufl.edu/IN134