The last time I was in Mexico, I was mugged by the Policia. They decided that I committed some obscure crime that they couldn't explain and said - we'll take you to jail now...unless.... So I emptied my wallet of cash - $20 (I kept the least amount of money in my wallet), but that wasn't enough for them, so I pulled some cash out of my sock - $50. They started to say that wasn't enough either, but I told them that was all I had and they let me go.
I had another $200 in the other sock. Never keep all of your money in one place....2 or 3 places is/was definitely warranted at that time.
Back then, I considered it a risk to go to Mexico, but it was mitigated by affordable corruption. That was the most expensive corruption I had ever seen, so I decided not to go back any more. That was right after 9/11....it may have been early 2002.