Think again
They also stick out less in Canada with it's open door refugee policies. In Catholic Mexico with it's larger police forces and minimal PC attitudes, they stick out more. Plus, most of the terrorists are fairly well-off. Why mess around in poorer Mexico?
Finally, because of drugs and illegal immigrants, the US border patrol is larger on the Mexican border. More movement but more police makes that border seem riskier to terrorists.
Both Canada and Mexico represent entirely different situations in terms of border access.