What does a caterpillar's chrysalis protect?

A near-total rebuild. Inside, most of the caterpillar's tissues are broken down into a nutrient soup by its own enzymes, and the adult is constructed from small clusters of cells called imaginal discs that were present and dormant from the start - one for each wing, each leg, each eye. Very little of the caterpillar survives as caterpillar.

Something does cross the gap, and it is the part that unsettles people. Caterpillars trained to associate a specific smell with a mild electric shock produced moths that still avoided that smell. A memory persisted through the dismantling and reassembly of the brain that formed it.

The chrysalis and the cocoon are not the same thing, which the question quietly assumes. A cocoon is a silk case spun around the outside, which is what moths generally do; a chrysalis is the hardened skin of the pupa itself, revealed when a butterfly caterpillar sheds for the last time, with no wrapping at all. Some chrysalises are metallic gold, which is where the word comes from - chrysos, Greek for gold.