Albuquerque used to have a couple of "knife" shops. One at the mall (overpriced factory knives) and two others scattered around town (mall-ninja stuff, some brand name).
Santa Fe is the home of, naturally, Santa Fe Stone Works.
That's the only place I know of in New Mexico that I'd bother visiting.
Instead of knife shops, head for the wineries, the scenic outdoors, or historic sites.
If you're passing through Raton, my humble collection of Schrade USA Old Timers is on display at the New Mexico Scouting Museum. Just south of the Amtrak station on First Street. They're not for sale though.