In another case of "Screw you, Mexico",

Recent violent attacks have prompted the U.S. Embassy to urge U.S. citizens to delay unnecessary travel to parts of Durango, Coahuila and Chihuahua states (see details below) and advise U.S. citizens residing or traveling in those areas to exercise extreme caution. Drug cartels and associated criminal elements have retaliated violently against individuals who speak out against them or whom they otherwise view as a threat to their organizations. These attacks include the abduction and murder of two resident U.S. citizens in Chihuahua.

...Criminals have followed and harassed U.S. citizens traveling in their vehicles in border areas including Nuevo Laredo, Matamoros, and Tijuana. Travelers on the highways between Monterrey and other parts of Mexico to the United States (notably through Nuevo Laredo and Matamoros) have been targeted for robbery and violence and have also inadvertently been caught in incidents of gunfire between criminals and Mexican law enforcement. Such incidents are more likely to occur at night but may occur at any time.

...In recent years, dozens of U.S. citizens living in Mexico have been kidnapped and most of their cases remain unsolved. U.S. citizens who believe they are being targeted for kidnapping or other crimes should notify Mexican law enforcement officials and the U.S. Embassy in Mexico City or the nearest U.S. consulate as soon as possible. Any U.S. visitor who suspects they are a target should consider returning to the United States immediately. U.S. citizens should be aware that many cases of violent crime are never resolved by Mexican law enforcement, and the U.S. government has no authority to investigate crimes committed in Mexico.
But Mexico is telling its people to avoid Arizona, because actually obeying US laws on immigration is just too horrible to contemplate.

Screw you, Mexico