In part, in my opinion, because they've been told over and over that it is the fault of the US that Mexico can't provide them with opportunity. It's also a very commonly held belief that the US ‘stole’ the southwest (including California) from Mexico, and that this is another reason why there's no opportunity for them in Mexico. Some might feel like patriots of some sort. These beliefs are very helpful for the Mexican government, as they provide a safety valve for the resentment that would likely be directed at them if there wasn't the ‘bad’, ‘greedy’, and ‘racist’ US as a scapegoat. I've never understood why the US has not pushed back against this characterization and put the blame squarely on the corrupt Mexican government.
Regarding the Chiapas issue, I've seen this first hand in Mexico city. The person I was with, who is from Mexico but now living in the US (legally), routinely told me how prejudiced and bad the US was and how they had stolen California, and how horrible it was that there was any call to stop illegal immigration, because ‘they are just here to pick YOUR tomatoes’. When confronted with protesters proclaiming the rights of those indigenous people from Chiapas, he was very critical of them. The hypocrisy was more than self-evident.
Those people don’t want to see facts-it might make too much sense. Get someone on either side of the argument a DNA test-I’ll bet not 25% of the people in any self-proclaimed indigenous tribe on either side of the US border is pure American Indian-with the exception of tribes in the isolated areas of S. America like the Amazon.
There was some tribe in the northern US proclaiming their ethnic purity-until DNA testing showed them to be one of the very first tribes to interbreed with Europeans who came here, based on the percentage of European DNA and how prevalent it was...