You should be using pandas own ExcelWriter
class:
from pandas import ExcelWriter
# from pandas.io.parsers import ExcelWriter
Then the save_xls
function works as expected:
def save_xls(list_dfs, xls_path):
with ExcelWriter(xls_path) as writer:
for n, df in enumerate(list_dfs):
df.to_excel(writer,'sheet%s' % n)