Local gossip about this incident at cruisers bars and on the net, generally concludes that it probably was
the Mexican Navy. But the boat owner took the right precautions, in addition to what he did, he could have contacted the Mexican Navy on SSB
to confirm the presence of a vessel in those waters.
The opinion of most is that if it was indeed a pirate, a phone call to the US Coast Guard (1,500 miles away?) wouldn't have deterred them from taking the vessel. Rather, the patrol ship decided it wasn't worth the effort and the possible bad press after confirming the subject vessel to be a pleasure yacht.
It's not unusual for police and military to wear some type of ski mask to hide their identity and that of their vessel while on an operation to help prevent reprisals on themselves and their families from the large drug cartels. Even the US Home Security personnel are adopting this practice, as has the ATF for some time.
Are there pirates in Mexico? My answer would be yes, they're called chandleries, boatyards, and other marine supply houses.