Mr. Massey said, referring to illegal traffic. “For the first time in 60 years, the net traffic has gone to zero and is probably a little bit negative."from the NY Times
You have a number of contributing factors, increased border security, which has raised the cost of an illegal crossing from the US to Mexico from a few hundred to a few thousand dollars. The US economy doesn't have as much demand for Mexican labor particularly in construction. The drug wars make crossing even more dangerous. Opportunities for education and income are much higher in Mexico than they were 15-20 years ago. The linked article is a good read, and covers the main topics.
Also worth pointing out is that earlier research by Massey showed that in the late 1990s almost half of migrants returned to Mexico in two years. In short many Mexicans came to the US for only a short time with plans to return. One of my papers found that these Mexicans once they returned were about as good at finding jobs as those who had never left Mexico, so leaving doesn't seem to hurt people too much (see here)