A hot shooting New Mexico opened up an 18-point 2nd half lead before the Aggies fought back to pull with one with 8 seconds left.
The Lobos made two free throws, the Aggies missed a 3-point attempt at the buzzer that would have tied the game, and A&M fell 84-81.
Texas A&M's Donald Sloan led all scorers with 29 points.
New Mexico raced to a 15-2 lead in the first four minutes of play.
The Aggies went on their own 16-4 run to pull within one, 19-18, on a Donald Sloan layup at the 9:48 mark in the first half.
The Aggies were still within four, 25-21, at the 5:37 left in the first half when the Lobos scored eight straight to take a 33-21 lead.
New Mexico led at halftime 40-29, on the strength of 6-for-10 three-point shooting, as compared to the Aggies' 3-of-14 from three-point range.
The Aggies pulled back to within eight, 44-36, in the first 4 minutes of the second half before the Lobos went on a 18-8 run to open up a 18-point lead, 62-44, at the 12:33 mark in the second half.
Texas A&M fought back, outscoring the Lobos 34-18 during the next twelve minutes and Donald Sloan's 3-point jumper with 30 second left pulled the Aggies to within two, 80-78.
With 18 seconds left the Aggies had a chance to tie the game but Nathan Walkup missed both of his free throw attempts.
Khris Middleton hit a 3-point jumper with 9 seconds left to pull the Aggies to within one, 82-81.
Donald Sloan immediately fouled Roman Martinez, and Martinez sunk two crucial free throw to push the Lobo lead back to three, 84-81.
The Aggies had one last chance to tie the game but B.J. Holmes three-point attempt was blocked by Darington Hobson and New Mexico escaped the Aggie comeback attempt with an 84-81 win.
Roman Martinez had 22 points and Darington Hobson scored 18 to lead New Mexico.
Texas A&M's Donald Sloan led all scorers with 29 points and B.J. Holmes added 14 for the Aggies.
Texas A&M just faced a hot shooting team on the day, with New Mexico hitting 56% from the field and an outstanding 62% from 3-point range.
Despite the Lobos hot hand, the Aggies fought back from 18 down to have a chance with the final shot and this comeback, while falling just short, will pay divends for the Aggies in the future.
Texas A&M (8-2) now have a week to prepare to host The Citadel next Saturday night.