A majority of the illegal Mexicans immigrants come from the poorer parts of central and southern Mexico, from Michoacan, Morelos, Chiapas, Oaxaca and other places where land is scarce and/or water is erratic. They tend not to come from the more prosperous places, like Mexico City, Monterrey and the border cities. They tend to be mostly Indian in heritage and have been generally ignored by the Mexican government. They do not trust the Mexican government and do not believe that it has ever been on their side. This would be because rural people are normally ignored in Mexico unless they have a lot of money, or there are major resources, factories, tourist spots and other things that attract wealth.
When they come to the US they become impressed with how everything works: the water is drinkable, the rivers do not flood, the electricity is reliable, the roads are smooth and fast. They have no desire to be a part of the Mexico they left.
