Addressed with profanity to "Gringos (D.E.A.)," the unsigned graffiti warned: "We know where you are and we know who you are and where you go. We are going to chop off your (expletive) heads."
Anonymous messages conveying threats and other warnings are common in areas hit hard by Mexico's drug war, but it is rarer for them to threaten U.S. law enforcement. Authorities do not know who left the message, which was removed.
The DEA referred questions to the U.S. State Department. Officials there did not immediately respond to requests for comment.
The message was left in the Chihuahua state capital, also called Chihuahua, which is about 220 miles (360 kilometers) from the U.S. border.
In February, suspected Zeta cartel members killed U.S. Immigration and Customs Enforcement agent Jaime Zapata and wounded colleague Victor Avila on a highway in the Mexican state of San Luis Potosi.
Also on Friday, five copies of a message addressed to Chihuahua Gov. Cesar Duarte were found painted on blankets known as "mantas" in Ciudad Juarez, a city across the border from El Paso, Texas. Those messages, apparently posted by rivals of the Sinaloa drug cartel, accused officials of protecting the Sinaloa organization.
It was not clear if the messages in Chihuahua and Ciudad Juarez were related.
"This sort of message will not stop us from continuing the fight to bring peace back to this state," Chihuahua Interior Secretary Graciela Ortiz said.
The threatening message against Duarte comes amid threats to the governor of Nuevo Leon, another northern state bordering Texas. Two of Gov. Rodrigo Medina's bodyguards were mutilated, killed and dismembered in June.