It's an excellent question.
There certainly are examples of individuals moving from various countries in the world to Latin America. There has been considerable attention paid to the threat of terrorist groups exploiting the U.S.'s relatively porous southern border. But I think it's important to keep in mind that as porous as that border is, and as much as it is the source of the majority of illegal immigration into the U.S., the northern border is much longer and is watched over with considerably less manpower and resources, both on the Canadian side and on the American side. That means that as easy as it is for individuals to come illegally into the U.S. across the Mexican border, it's perhaps easier for them to cross the Canadian border.