We examine the problem of crawling the community structure of a multiplex network containing multiple layers of edge relationships. While there has been a great deal of work examining community structure in general, and some work on the problem of sampling a network to preserve its community structure, to the best of our knowledge, this is the first work to consider this problem on multiplex networks. We consider the specific case in which the layers of a multiplex network have different query (collection) costs and reliabilities; and a data collector is interested in identifying the community structure of the most expensive layer. We propose MultiComSample (MCS), a novel algorithm for crawling a multiplex network. MCS uses multiple levels of multi-armed bandits to determine the best layers, communities and node roles for selecting nodes to query. We test MCS against six baseline algorithms on real-world multiplex networks, and achieved large gains in performance. For example, after consuming a budget equivalent to sampling 20% of the nodes in the expensive layer, we observe that MCS outperforms the best baseline by up to 49%.