The dynamics of a multimode Quantum Cascade Laser, is studied in a model based on effective semiconductor Maxwell-Bloch equations, encompassing key features for the radiationmedium interaction such as an asymmetric, frequency dependent, gain and refractive index as well as the phase-amplitude coupling provided by the Henry factor. By considering the role of the free spectral range and Henry factor, we develop criteria suitable to identify the conditions which allow to destabilize, close to threshold, the traveling wave emitted by the laser and lead to chaotic or regular multimode dynamics. In the latter case our simulations show that the field oscillations are associated to self-confined structures which travel along the laser cavity, bridging mode-locking and solitary wave propagation. In addition, we show how a RF modulation of the bias current leads to active mode-locking yielding high-contrast, picosecond pulses. Our results compare well with recent experiments on broad-band THz-QCLs and may help understanding the conditions for the generation of ultrashort pulses and comb operation in Mid-IR and THz spectral regions