Graph anomaly detection (GAD) is a critical task in graph machine learning, with the primary objective of identifying anomalous nodes that deviate significantly from the majority. This task is widely applied in various real-world scenarios, including fraud detection and social network analysis. However, existing GAD methods still face two major challenges: (1) They are often limited to detecting anomalies in single-type interaction graphs and struggle with multiple interaction types in multiplex heterogeneous graphs; (2) In unsupervised scenarios, selecting appropriate anomaly score thresholds remains a significant challenge for accurate anomaly detection. To address the above challenges, we propose a novel Unsupervised Multiplex Graph Anomaly Detection method, named UMGAD. We first learn multi-relational correlations among nodes in multiplex heterogeneous graphs and capture anomaly information during node attribute and structure reconstruction through graph-masked autoencoder (GMAE). Then, to further weaken the influence of noise and redundant information on abnormal information extraction, we generate attribute-level and subgraph-level augmented-view graphs respectively, and perform attribute and structure reconstruction through GMAE. Finally, We learn to optimize node attributes and structural features through contrastive learning between original-view and augmented-view graphs to improve the model's ability to capture anomalies. Meanwhile, we also propose a new anomaly score threshold selection strategy, which allows the model to be independent of the ground truth in real unsupervised scenarios. Extensive experiments on four datasets show that our \model significantly outperforms state-of-the-art methods, achieving average improvements of 13.48% in AUC and 11.68% in Macro-F1 across all datasets.