Upon illumination by ultraviolet light, many animal species emit light through fluorescence processes arising from fluorophores embedded within their biological tissues. Fluorescence studies in living organisms are however relatively scarce and so far limited to the linear regime. Multiphoton excitation fluorescence analyses as well as non-linear optical techniques offer unique possibilities to investigate the effects of the local environment on the excited states of fluorophores. Herein these techniques are applied for the first time to the study of insects' natural fluorescence. The case of the male Hoplia coerulea beetle is investigated because the scales covering the beetle's elytra are known to possess an internal photonic structure with embedded fluorophores, which controls both the beetle's colouration and the fluorescence emission. An intense two-photon excitation fluorescence signal is observed, the intensity of which changes upon contact with water. A Third-Harmonic Generation signal is also detected, the intensity of which depends on the light polarisation state. The analysis of these non-linear optical and fluorescent responses unveils the multi-excited states character of the fluorophore molecules embedded in the beetle's elytra. The anisotropy of the photonic structure, which causes additional tailoring of the beetle's optical responses, is confirmed by circularly polarised light and non-linear optical measurements. arXiv:1801.07639v1 [physics.optics]