In this paper, we consider the problem of change detection (CD) with two heterogeneous remote sensing (RS) images. For this problem, an unsupervised change detection method has been proposed recently based on the image translation technique of Cycle-Consistent Adversarial Networks (CycleGANs), where one image is translated from its original modality to the modality of the other image so that the difference map can be obtained by performing arithmetical subtraction. However, the difference map derived from subtraction is susceptible to image translation errors, in which case the changed area and the unchanged area are less distinguishable. To overcome the above shortcoming, we propose a new unsupervised copula mixture and CycleGAN-based CD method (COMIC), which combines the advantages of copula mixtures on statistical modeling and the advantages of CycleGANs on data mining. In COMIC, the pre-event image is first translated from its original modality to the post-event image modality. After that, by constructing a copula mixture, the joint distribution of the features from the heterogeneous images can be learnt according to quantitive analysis of the dependence structure based on the translated image and the original pre-event image, which are of the same modality and contain totally the same objects. Then, we model the CD problem as a binary hypothesis testing problem and derive its test statistics based on the constructed copula mixture. Finally, the difference map can be obtained from the test statistics and the binary change map (BCM) is generated by K-means clustering. We perform experiments on real RS datasets, which demonstrate the superiority of COMIC over the state-of-the-art methods.