Those foreign Mexicans live under the delusion that their country is great JUST because it's theirs, while other countries are much more able to point to the great things their own country did or is doing.
Mexico did some cool things dont get me wrong, beating back the French and building a strong regional economy is great, but for many uneducated goycattle who HAVE to flee north they aren't able to even entertain an uncomfortable(, for the most part,) truth.
I don't think it's exclusive to Mexico either, check out poor stupid people from any country when you criticize their home(Muzzie immigrants, Russian emigres, Chinese students, Deep Southerners, etc)