The PGA Tour said it could not find sponsors to hold the 2017 World Golf Championship at Mr Trump's Doral course in Miami.
Mr Trump said the PGA had "put profit ahead of thousands of American jobs".
On the campaign trail, Mr Trump has portrayed Mexico as undermining the US economy.
Understanding the media addiction to Trump
Why has Trump caught Clinton in the polls?
PGA Tour commissioner Timothy Finchem said Mr Trump's current profile had made it "difficult" to attract sponsors.
"It's fundamentally a sponsorship issue," said Mr Finchem.
Luxury car maker Cadillac has reportedly not renewed its sponsorship deal.
"Donald Trump is a brand, a big brand, and when you're asking a company to invest millions of dollars in branding a tournament and they're going to share that brand with the host, it's a difficult decision," he said.
However, Mr Finchem insisted the decision to move the event to Mexico City from Florida, where it has been held for the past 55 years, was not political.
"From a golf standpoint we have no issues with Donald Trump. From a political standpoint we are neutral. PGA Tour has never been involved or cares to be involved in presidential politics," he added.
The PGA Tour has signed a new seven-year sponsorship deal with Grupo Salinas, and the first WGC-Mexico Championship will held in March next year.
Mr Trump said the decision marked a "sad day for Miami, the US and the game of golf".
"This decision only further embodies the very reason I am running for president of the United States," he said.
The venue for the event has not been officially confirmed, but media reports say it will take place at the Club de Golf Chapultapec outside Mexico City.
"I hope they have kidnapping insurance," Mr Trump told Fox News.
Mr Finchem said that a member of his staff had already confirmed that this was in place.
"I haven't inquired about the detail," he said.  "But I made the point  that maybe that's something we don't want to advertise."

The 34-year-old Somalian woman was attacked outside the Co-op on Water Eaton Road, Bletchley, on 6 August.
David Gallacher, 37, of no fixed abode, has been charged with assault causing actual bodily harm, assault by beating and two counts of racially or religiously aggravated assault.
He has been bailed to appear at Milton Keynes Magistrates' Court on 14 March.
Mr Gallacher allegedly assaulted both the woman and a 40-year-old man in the attack in August.
He is also charged of three counts of assaulting a police officer on 14 September in Larch Grove, Bletchley.

The search giant's all-important advertising revenue was also up 11%, to $16bn.
In a statement Google's finance chief Ruth Porat highlighted ad growth on mobile and YouTube.
Google's shares jumped 7.5% in after-market trading as traders welcomed the better-than-expected results.
The share price had already risen 3.5% during normal trading hours.
Advertisers pay Google only if a user clicks on one of their ads. "Cost per click", or the average price of online ads, fell in the quarter, but was more than offset by the increase in ad volumes.
Google's ad revenue has been under pressure as consumers access its services on mobile devices such as smartphones and tablets, whose advertising rates tend to be lower.
Google's share price rise "is reflecting the fact that they've effectively just beat earnings for the first time in several quarters," said Victor Anthony, an analyst at Axiom Capital.
US Republican presidential candidate Donald Trump has reacted angrily after a leading golf tournament was moved from one of his courses to Mexico.
[NEXT_CONCEPT]
A man has been charged with an attacking a pregnant woman who went on to lose her unborn twins.
[NEXT_CONCEPT]
Google's net income rose 17% to $3.93bn in the three months to June from the quarter last year, boosted by an 11% rise in revenues to $17.7bn.