Identification of functional modules/sub-networks in large-scale biological networks is one of the important research challenges in current bioinformatics and systems biology. Approaches have been developed to identify functional modules in single-class biological networks; however, methods for systematically and interactively mining multiple classes of heterogeneous biological networks are lacking. In this paper, we present a novel algorithm (called mPageRank) that utilizes the Multiplex PageRank approach to mine functional modules from two classes of biological networks. We demonstrate the capabilities of our approach by successfully mining functional biological modules through integrating expression-based gene-gene association networks and protein-protein interaction networks. We first compared the performance of our method with that of other methods using simulated data. We then applied our method to identify the cell division cycle related functional module and plant signaling defense-related functional module in the model plant Arabidopsis thaliana. Our results demonstrated that the mPageRank method is effective for mining sub-networks in both expression-based gene-gene association networks and protein-protein interaction networks, and has the potential to be adapted for the discovery of functional modules/sub-networks in other heterogeneous biological networks. The mPageRank executable program, source code, the datasets and results of the presented two case studies are publicly and freely available at http://plantgrn.noble.org/MPageRank/.