An official of the Zacatecas state prosecutor's office said the heads were found packed in ice on a roadside yesterday, along with hand-written signs.
He spoke on condition of anonymity because he wasn't authorised to be quoted by name
The victims have not yet been identified and their bodies have not yet been found.
But the official said the content of the messages suggested the victims were members of a drug gang.
"These are the kind of messages that drug cartels leave for other gangs ... As part of their disputes," the official said.
The area was once dominated by the highly violent Zetas cartel, much of whose leadership has been arrested or killed.
The Gulf and Jalisco New Generation cartels are now believed to be moving into the area.