From the Super Mario Wiki
Missile Bills (also known as Heat-Seeking Bullet Bills), are purple/red Bullet Bill variants that have heat-seeking visuals.
Their first appearance is in Super Mario Bros. 3. In this game, a Missile Bill turns around once if it misses its target, but continues going forward without turning around anymore after missing twice.
Similar Bills make another appearance in Super Mario Sunshine at Pinna Park's beach. In this appearance, they are purple and shot from the Monty Mole's cannon. They always home in, so there is no way Mario can easily outrun them. They can destroy the baskets on the beach which hold Blue Coins; this is the only way to open them. Missile Bills explode when they make contact with an object, or if Mario squirts water at them. There is a gold version that will make coins appear if Mario jumps on it. During the final battle, Bowser Jr. sends some regular ones and also a blue one that will let out a 1-Up Mushroom or a Water Bottle if stomped on.
They also appear in Mario Party 8 in the third round of the minigame Superstar Showdown where they are red in colour. They do not home in on the player, but move much faster than the ordinary Bullet Bills in the previous round.
They also reappear in New Super Mario Bros. Wii, though they are referred to as Heat-Seeking Bullet Bills in the Prima Games guide. They resemble normal Bullet Bills, but when one sees Mario, it will make a beeping noise and start flashing red. Here, they have a similar attack pattern to the one they did in Super Mario Bros. 3. However, in this game, they can change the angle they are flying at and will not stop pursuing the player until they are defeated or the player has gotten far enough away. They only appear in World 9-3, alongside a new sub-species, Missile Banzai Bills.
Missile Bills make a comeback in Mario Party 9 in the minigame, Billistics, where they appear alongside Bullet Bills. In this game, Missile Bills make beeping radar noises. This is a way to tell if a Missile Bill is coming. Like in other appearances, Missile Bills will home in on the player, but when a Missile Bill misses, it will not turn around, similar to Super Mario Bros. 3 when a Missile Bill misses twice.
In New Super Mario Bros. U, Missile Bills make a comeback, appearing only during the Roy Koopa battle at the Rock-Candy Mines. They are seen being shot out of Roy's Bullet Bill cannon. In this case though, after some time of unsuccessfully chasing Mario, it self-destructs, blowing up like a Fire Chomp.