Heck, no, ferrets are not illegal in New Mexico.  I have five (I live in
Albuquerque) and I know other people who have more, including at least one
breeder.  We also have ferret owners who have posted to this list from Las
Cruces and Santa Fe -- also cities in New Mexico.  I recently got an e-mail
from a lady in Truth or Consequences (yes, named for the TV show) who has
ferrets.
 
Linda and fuzzies Esperanza (whom I smuggled here from El Paso),
Lucky Charm, Angel, Chocolate Moose, and Zipper
[Posted in FML issue 2734]