This means that whenever you drive into Mexico, you are required to carry a separate policy. Most car rental companies don’t want the additional risk, so they simply eliminate travel to Mexico as an option for their customers.
Moreover, certain parts of Mexico have a high amount of car-related crimes. By allowing rental cars to travel to Mexico, rental car companies are putting their vehicles at risk. If a vehicle is stolen or damaged in Mexico, they likely wouldn’t have a way to recoup their losses.