Because Mexico's immigration standards are even stricter than Canada's.
You can Live in Mexico but you won't be allowed to participate in the political affairs of the country. No waving America flags in the streets of Mexican cities, it's against the law. No registering to vote. Voters in Mexico have to show valid photo ID and prove they are Mexican citizens.
Add to this the fact that law enforcement in Mexico and be... somewhat inconsistent for foreigners and you can see why Mexico just wouldn't be a good fit for more American lefties.
You mean, some activities by foreigners are [gasp!] illegal?!