We investigate the high velocity flow in heterogeneous porous media. The model is obtained by upscaling the flow at the heterogeneity scale where the Forchheimer law is assumed to be valid. We use the method of multiple scale expansions, which gives rigorously the macroscopic behaviour without any prerequisite on the form of the macroscopic equations. We show that Forchheimer law does not generally survive upscaling. The macroscopic flow law is strongly non-linear and anisotropic. A 2-point Pade approximation of the flow law in the form of a Forchheimer law is given. However, this approximation is generally poor. These results are illustrated in two particular cases: a layered composite porous media and a composite constituted by a square array of circular porous inclusions embedded in a porous matrix. We show that non-linearities are sources of anisotropy.