This comes after banners appeared in Tijuana stating that the show would be "his last" due to the singer's "disrespect and loose tongue."
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Prajin Music Group published an Instagram story signed by La Doble P, as the artist is also known, on Wednesday in which he announced his decision.
"Our goal is to protect the fans and the team. For the safety of everyone involved, we will cancel our show in Tijuana," the publication states. "Thank you very much to all our fans for understanding. We love you".
No refund details were specified.
The Associated Press contacted representatives of Peso Pluma for their comments on the matter without receiving a response at the moment.
Peso Pluma is part of the Prajin Records label, owned by Prajin Music Group. His work has multiple songs in which he addresses issues of drug trafficking groups, weapons and drugs.
Last week a man was arrested in Tijuana when he was handling one of the threatening banners, the Attorney General's Office of the state of Baja California reported.
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Four banners were located on the El Mirador bridge, on the Vía Rápida and in the Libertad neighborhood, all in the same city.
Regional prosecutor Édgar Mendoza then said that an investigation had been launched. The mayor of Tijuana, Montserrat Caballero, had said that depending on what the experts determined, the concert would be authorized.
Peso Pluma, who is known to praise Mexican drug kingpin Joaquin "El Chapo" Guzman in his songs, made history last week by becoming the first Mexican star to perform at the MTV Video Music Awards.
Peso Pluma, whose real name is Hassan Emilio Kabande Laija, was born in Guadalajara, Jalisco, on June 15, 1999.
The Associated Press contributed to this report.