I would make a suggestion that members reading in this thread go up to look at what I quoted from Annie Proulx's story.
Look where it says Mexico was the place. He'd heard..
Then after Jack "claims" that he had been to Mexico, look at what Ennis said in response.
"I got a say this to you one time, Jack, and I ain't foolin. What I don't know," said Ennis, "all them things I don't know could get you killed if I should come to know them."
Because of Ennis's words, I see that he was not referring to a place for "boys like you;" he was talking about how dangerous it would be for a "queer" to go to Mexico. Ennis didn't always say exactly what he meant. (Up on Brokeback when he was going to sleep by the campfire because he was dizzy drunk, he said "Got you an extra blanket" when he meant "Have you got an extra blanket?")
He was not threatening to kill Jack if he found out what Jack had been doing with guys when they were apart; he was afraid that by the time he found out if Jack had been doing those things, Jack would have already been killed. When Ennis got upset, he did not always express himself very well.