In time this will happen. It's almost a foregone conclusion that the southern border will be erased. But for now there are too many complications for that to happen.
For example, Mexico is a sovereign nation with its own set of laws, a Mexican Congress and president, its own currency and a fiscal debt that exceeds that of the United States. All of this would have to be dealt with. Further, the Mexican Congress is seriously corrupt. Are you advocating a peaceful takeover of Mexico or one that is forced?
Internal problems in Mexico are rampant. Any country that annexed Mexico -- Spain has also considered the possibility -- would have to deal with well-entrenched drug lords and the Al Qaeda terrorist group which is also present. Any country that annexed Mexico would have a myriad of health issues to deal with among the populace. Tuberculosis is widespread there as are other diseases.
Perhaps a better question would be: Why don't Mexicans change their country rather than demonstrate here? It's probably because a stable infrastructure is already in place here. Mexicans realize that changing their country would be like performing a gall bladder operation on yourself. It's easier to come here and make demands.