Police said they were investigating the gruesome discovery in Mante, a city of about 115,000 people about 280 miles south of Brownsville, Texas, KGBT-TV, Harlingen, Texas, reported Thursday.
The bodies and message were found Thursday.
The contents of the note were not disclosed.
The Tamaulipas Attorney General's Office said it didn't have any official information for public release.
Celebrity Families of 2014 [PHOTOS]