Hi. From my
very limited experience, dating back several years ago, in a resort in Cancun, I carried both a diving knife (nothing fancy, a 20 EUR Cressi ) and a SAK. Both of them in checked-in luggage (no cabin!), flying Lufthansa. No particular problems or restrictions, that I can remember, at final destination/customs.
For what is worth

, I dont recommend to run around, as a tourist, thinking about defending yourself with a knife (!) in any foreign country (not that is wise in our own too, but at least we know the written and unwritten" rules and language better). In Mexico, try to stay
very safe, chose leisure places carefully, keep a low profile, an hyper-vigilant eye, avoid aggressive or confronting behaviors and avoid getting obviously drunk, especially if you are with your wife/girlfriend, at least outside a resort. Don't count too much on Authorities/Police if you get into troubles. Hoping it can help and have great holidays!