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.
In a poor country, their money would go a lot farther, especially given the fact that justice is definitely for sale there.
I truly don't know about the Canadian border. I have heard security is lax, but I do know about the Mexican border, and it seems to be non-existant, just smoke and mirrors. Just drove through El Paso, saw a lot of people swimming in the Rio Grande (a death defying act), but the 'border' was a chain-link fence. Under the cover of night, how many could cut or just scale that fence, walk through that industrial area of El Paso and become invisible. As for the presence on the Mexican border of Border Patrol and DEA, just think how effective (Not!) at controlling both the illegals and the drug flow, and then ask youselves, why would they not come across that border!!