Yes, open carry is perfectly legal in New Mexico. But it is still unusual enough that a lot of people there don't even know it's legal and it still raises eyebrows at times.
I worked at a gun shop in New Mexico where we were encouraged to open carry. Frequently, while going to lunch or to or from work, I open carried into other businesses. Never got harassed or anything though some people would ask if I was a cop or ask me about the legality of carrying.
My boss, the owner of the gun shop, frequently explained to people that while open carry is legal, any business has a right to refuse service to anyone as long as they don't discriminate against race, sex, religion, national origin, or sexual preference. He said that if he goes into a store and the manager says, "Sir, would you mind not bringing that in here? It makes my other customers nervous." No problem. He would go out and lock it in his vehicle and then he'd be free to come back in.
From that article, it looks like the theater people never said anything to Mr. St. John. They just saw a "man with a gun" and called the police.
