It's an interesting question with a nuanced answer.
The tl;dr is that somewhere between 16% and 40% of Mexican illegal immigrants arrive by air. The most important number IMO is that 40% of illegal/unauthorized immigrants arrive legally, with proper visas, and overstay. There's no data that shows if these are permanent illegal immigrants or folks who knowingly/unknowingly overstayed on a tourist visa (there was a case recently where a man was deported because his flight home was canceled and his visa expired in the airport before he could get another flight. Not exactly a threat to homeland security.)
Overstayers had a legal visa and therefore are neither on a watchlist nor have committed serious crimes that would make them inadmissible. They're arguably less likely, therefore, to cause issues...and higher visa requirements have a chilling effect on trade and tourism (and almost always result in the targeted nation doing the same to us, which pisses off Americans.)