Actually, people were selling them and shooting them all over town. I'm not sure if it was legal or just too much trouble to enforce, the police were always 'looking to other way' and letting the people have a little fun, as long as they just tossed them on the pavement and didn't throw them at cars or buildings or people. But to get onto the Zocolo itself, they were searching people and confiscating them, not just mine but from a bunch of Mexicans as well.
Did you see the news about what happened in Morelia, Michoacan last night? Terrible. In case you (or others) didn't see it, somebody threw 2 (or 3, reports vary) hand grenades into the Independence Day celebration crowd there last night. 8 dead and over 100 injured.