OK, not monkeys, but apes, New Scientist says, have been caught making musical instruments:
The orang-utan’s music, if you can call it that, is actually an alarm call known as a “kiss squeak”.
“When you’re walking the forest and you meet an orang-utan that not habituated to humans, they’ll start giving kiss squeaks and breaking branches,” says Madeleine Hardus, a primatologist at the University of Utrecht in the Netherlands, who documented the practice among wild apes in Indonesian Borneo.
She contends that orang-utans use leaves to make kiss squeaks to deceive predators, such as leopards, snakes and tigers, as to their actual size – a deeper call indicating a larger animal.
Leaf-enhanced kiss-squeak musician videos are at the link.