The Lobos got a big game from Cameron Bairstow but never quite dug out of an early 16-point deficit, losing 58-53 to Stanford in the second round on Friday.
"Not a lot of fun," first-year coach Craig Neal said. "We've been here before."
Chasson Randle scored 23 points and No. 10 seed Stanford made an impression in its first NCAA appearance since 2008, leading almost start to finish against the seventh-seeded Lobos.
The Cardinal (22-12) held on after New Mexico rallied to tie it midway through the second half. They got four crucial free throws from reserve Robbie Lemons and Randle in the final half-minute after New Mexico had cut the deficit to two points.
Stanford plays the Eastern Kentucky-Kansas winner on Sunday in the third round of the South Regional.
New Mexico is headed home without taking care of "unfinished business," the school's unofficial theme this season.
"Yeah, I think it was something more for the fans, that tag," Bairstow said. "I think we as a team had of course expectations of postseason success, especially after last year.
"Unfortunately, we couldn't get it done."
Bairstow had 24 points and eight rebounds but the Lobos (27-7) got off-days from their other top threats. Kendall Williams and Alex Kirk, who together average 30 points, combined for just six.
New Mexico has been one and done the last two seasons, losing as the No. 3 seed to Harvard last year under coach Steve Alford. This season they became the first school in Mountain West Conference history to win the regular season and conference tournament in consecutive seasons.
"We've done about everything you can do," Neal said. "It's just getting better in the tournament. I just wanted to get these guys back and have another chance, it just didn't work out for us this time."
Except for winning Friday, Neal said he wouldn't have changed a thing.
"Just really proud about what they did and really happy for their careers," Neal said. "I just wish it would have ended a little better way."
Long-range shooting was a key, with Stanford going 8 for 15—including 3 for 3 by Anthony Brown—and New Mexico going just 4 for 21.
"They made a lot of shots, they made a lot of plays," Williams said. "And then you look at your stat line and you go 1 for 9.
"We just didn't make enough plays."
Stanford got away with an off-day from Dwight Powell, who missed all eight shots, fouled out and scored three points. Powell averages 14.2 points, second on the team.
Brown added 10 points and seven rebounds for the Cardinal and Stefan Nastic had 10 points and five rebounds.
Stanford hit eight of its first 10 shots and scored 17 straight points, including six from Randle, for a 20-4 lead with 13:23 to go in the first half.
New Mexico went 6:26 between points and more than 7 minutes between baskets before gaining its footing. The Lobos kept feeding it to Bairstow and ended the half on an 8-0 run that cut the deficit to 32-27.
They tied it at 45 near the mid-point of the second half before going scoreless for nearly 7 minutes.