In a document, dated 6/07/2011 and sent to law enforcement agencies by the ATF Phoenix Field Division and leaked by the Anonymous-affiliated group LulzSec, states that the USA manufactured 40mm grenades in use by Mexican drug gangs were legally exported to foreign militaries, not purchased, procured or stolen from inside the United States.

From the document (emphasis added) …

most of the 40 mm grenades encountered have been US manufactured HE 40mm that have all been traced to legal foreign military sales programs or a South Korean direct copy of the US 40 mm with English markings

South Korean Grenades (Photo from the leaked document)

US manufactured grenades (Photo from the leaked document)

The launchers found in Mexico are either converted 37mm flare launchers or were traced back to legal foreign military sales

During the preceding months there have been numerous recoveries by Mexican authorities of M203 style 40 mm Grenade Launchers as well as a variety of 40mm high explosive (HE) ordnance, from criminal elements on or near the International Border with the United States. Mexican authorities have also had recoveries further into the interior of Mexico. The M203’s that have been recovered are either military launchers that have been traced back to prior legal foreign military sales to Latin American countries that have been diverted for criminal use or improvised launchers that have been clandestinely manufactured from firearm components/parts.

M203 Grenade Launcher Mounted on stockless AK (Photo from the leaked document, readers in the comment below state that the ATF misclassified this as a M203.)