The warning is about Playa del Carmen and it comes following an explosion there two weeks ago after unexploded bombs were found on March 1. According to the U.S. Embassy, it has received information on another threat.
People at Mitchell International Airport say they are staying away.
"I do avoid going to Mexico," said traveler Peggy Vogds.
"There's no way I would take a chance," said traveler Rick Koehler.
The explosion last month left 26 people hurt including five Americans. Since then the U.S. Embassy says it's banned its employees from using ferries and issued a warning to travelers to exercise increased caution.
But if you have a trip booked and you want your money back, your options might be limited.
"In this particular situation you would have to have cancel for any reason, insurance because this level of warning doesn't count as a traditional reason to cancel," said Jenny Cagle, vice president of Elm Grove Travel.
Cagle said another option is to work with your hotel and airline to try to change your destination.
"It's really a case by case situation," said Cagle.
She said it is up to each traveler to decide if it is right for them to go. Right now, her own son is in Playa del Carmen. She is urging him to watch what is going on and listen to the State Department warnings.
"He's been reporting in and he's having a great a time," said Cagle. "So it really is a personal decision."
The State Department said if you are heading to Playa del Carmen be aware of your surroundings and exercise caution. You can also enroll in their Smart Traveler Enrollment Program (STEP) to receive security updates.