Woolly bears "feed on almost any type of foliage, but only for a brief time before spinning a cocoon and emerging a few weeks later as a mature moth."

I've found a few woolly bears over the years but only spotted the moth once. I'd let the woolly bear go.

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Auburngirl, he got there because the egg(s) was deposited on the petunia. This may have occurred on your balcony OR you may have brought it home with you from the garden center.