The integration of different two-dimensional materials within a multilayer van der Waals (vdW) heterostructure offers a promising technology for realizing high performance opto-electronic devices such as photodetectors and light sources1-3. Transition metal dichalcogenides, e.g. MoS2 and WSe2, have been employed as the optically-active layer in recently developed heterojunctions. However, MoS2 and WSe2 become direct band gap semiconductors only in mono- or bilayer form4,5. In contrast, the metal monochalcogenides InSe and GaSe retain a direct bandgap over a wide range of layer thicknesses from bulk crystals down to exfoliated flakes only a few atomic monolayers thick6,7. Here we report on vdW heterojunction diodes based on InSe and GaSe: the type II band alignment between the two materials and their distinctive spectral response, combined with the low electrical resistance of transparent graphene electrodes, enable effective separation and extraction of photoexcited carriers from the heterostructure even when no external voltage is applied. Our devices are fast (< 10 {mu}s), self-driven photodetectors with multicolor photoresponse ranging from the ultraviolet to the near-infrared and have the potential to accelerate the exploitation of two-dimensional vdW crystals by creating new routes to miniaturized optoelectronics beyond present technologies.