Okay. Fine. I'll bite.
If "Mexican" were to be used to refer to something stereotypically associated with Mexicans, it would be slurring Mexicans to use it that way, because 1) It's still a stereotype of those people not entirely divorced from its original meaning referring to those people themselves, and 2) It still carries other connotations related to stereotypes of those people.
For example, if "Mexican" were used as a term referring to, say, being a day laborer or itinerant worker: "Oh, you thought that guy worked in I.T.? Nah, he's been a Mexican for years now, working on farms in Iowa."
FWIW, I'm with Max on this one. There are so few Romani in the US and Australia that there's no negative connotation (or even ethnic identity) associated with the term "gypsy".
There are sure as hell negative connotations surrounding it. It's a common archetype in fiction for "gypsies" to be thieves, mystical fortune-tellers and the like (usually with ill intentions), vagabonds, and that sort of thing. It's not even all that rare. For example, that Stephen King novel "Thinner" has a plot revolving around being hexed by an old gypsy woman in revenge. Vampire: The Masquerade had an entire
vampire clan that the writers removed from the game after receiving complaints because it was essentially based on gypsy stereotypes (thieving vampires skilled in illusion and trickery).
Hell, I remember one of my parents saying that one of their parents (or grandparents?) used to joke about "selling [them] to the Gypsies". The Roma[ni] people have never had a huge presence in the US, to my knowledge, but there sure as hell are still negative connotations associated with them. The only difference is that they're basically treated as fictional.
Also: If the US never had any negative connotations associated with gypsies/the word "gypsy", then where does the slur "gyp" come from exactly? That's a pretty common word, even.
I'd compare it with the common use of the term "Eskimo" by pretty much everyone who lives outside of Canada. Whereas Canadians find it offensive (because apparently the term is pejorative in one of the Inuit languages) and refer them to as "Inuit" or "First Nations". Is the rest of the world racist?
It is if it has negative or stereotypical connotations unfairly associated with it, as is the case with "gypsy", even in the US.