That is because New Mexico is the only state to put it in writing that yo can only carry one firearm concealed.
Link to below Admin Rule:
10.8.2 NMAC
10.8.2.16 Terms and Conditions of License:
A. Carrying only handguns listed on license. No person shall carry a concealed handgun of a different category or higher caliber than is indicated on the license issued to that person by the department. A licensee shall only carry one (1) concealed handgun at any given time