To date, volatile sex pheromones have not been identified in the Coccinellidae family; yet, various studies have suggested that such semiochemicals exist. Here, we collected volatile chemicals released by virgin females of the multicolored Asian lady beetle, Harmonia axyridis (Pallas), which were either allowed or not allowed to feed on aphids. Virgin females in the presence of aphids, exhibited "calling behavior", which is commonly associated with the emission of a sex pheromone in several Coleoptera species. These calling females were found to release a blend of volatile compounds that is involved in the remote attraction (i.e., from a distance) of males. Gas Chromatography-Mass Spectrometry (GC-MS) analyses revealed that (-)-β-caryophyllene was the major constituent of the volatile blend (ranging from 80 to 86%), with four other chemical components also being present; β-elemene, methyl-eugenol, α-humulene, and α-bulnesene. In a second set of experiments, the emission of the five constituents identified from the blend was quantified daily over a 9-day period after exposure to aphids. We found that the quantity of all five chemicals significantly increased across the experimental period. Finally, we evaluated the activity of a synthetic blend of these chemicals by performing bioassays which demonstrated the same attractive effect in males only. The results confirm that female H. axyridis produce a volatile sex pheromone. These findings have potential in the development of more specific and efficient biological pest-control management methods aimed at manipulating the behavior of this invasive lady beetle.