The attack took place early on Saturday morning, local media reported, ahead of the swearing in of President Andres Manuel Lopez Obrador later in the day.
No one was killed or injured in the attack and Mexican authorities are investigating the matter, according to a US official in Mexico, Reuters reported.
Jalisco state prosecutors wrote on their Twitter account that federal authorities had taken over the investigation of the incident.
The state is the home base of the Jalisco New Generation Cartel, which is considered one of the most powerful gangs in Mexico by US and Mexican authorities.
The gang's leader, Nemesio Oseguera Cervantes, or “El Mencho” is on the US Drug Enforcement Administration's most wanted list.
Violence has surged in Jalisco and across Mexico, which is seeing record levels of killings. Jalisco's incoming governor, Enrique Alfaro, is set to take power next weekend.