The travel warning seemed to cover every area of Mexico. This was the only mention of Penasco...
"You are advised to exercise caution when visiting the coastal town of Puerto Peñasco. In the past year there have been multiple incidents of TCO-related violence, including the shooting of the city's police chief. U.S. citizens visiting Puerto Peñasco are urged to cross the border at Lukeville, AZ, to limit driving through Mexico and to limit travel to main roads during daylight hours." http://travel.state.gov/travel/cis_pa_tw/tw/tw_5440.html