It has nothing to do with risk,
I had a set of screwdriver keys similar to these seized off my key chain.
View attachment 705214
The rule is 'no tools', without a definition or limitation of what is a 'tool'. These are primarily contract workers without job protection so often they strictly follow the rules to protect their jobs. It can be very frustrating but in their minds feeding their children often comes first over common sense.
It's not just a Mexico thing, when you get on the plane the FAA will fine the airline and FA if they do not teach you how to use that newfangled thing call a seat belt.
Thanks. I was not aware of the "no tools" rule, but I never fly with tools so had to reason to become aware of it. I've learned something new!