Conservative activists who planned to protest against illegal immigration and President Obama’s immigration policies on Saturday said they had canceled all events after receiving death threats from Mexican drug cartels. Activists had planned to use vehicles as barricades to shut down border crossings at 17 locations in four states—Arizona, California, New Mexico and Texas. But the event, called Shut Down All Ports of Entry, was canceled early on Saturday morning by organizer Stasyi Barth, who said she had received the threats. In August, a similar protest was canceled after organizers claimed they had been threatened by Mexican drug cartels. The...