Put simply, it's carrying a pistol in your waistband. As you can imagine there are a whole bunch of reasons why shouldn't do this.
If you are going to do it, there is at least something you can do it make it a bit safer. Get a MIC Holster that will at least the trigger safe.
TheYankeeMarshall has a good video that explains why it's called the Mexican Carry and what you should think about.
>WARNING, The video is a bit raunchy<<