The EU has strict guidelines on who can join the EU. Open borders are for countries that are roughly similar. Regarding the US, compatible open border countries would be australia, singapore, taiwan, japan, south korea, britain, ireland, norway, denmark, italy, france, scandinavia, etc.
Mexico is not ready to be on the list. The world is not perfect and we need a southern barrier for an imperfect world.
When Spain and Portugal wanted to join the EU, it was feared that other members would be flooded with immigrants from those two countries putting a strain their services. Full membership was put off for 5 years while Spain and Portugal worked to improve job opportunities and living conditions, with the help of EU members.
The result was that at the end of 5 years conditions had improved so much in those two countries that many of those who had immigrated earlier, moved back.
IMHO, if Fox (Mexico) want open borders, then he should be working to improve conditions for his people in Mexico, not the US.