Same. Travelled to Puerto Penasco for 30+ years, drove 2,350 miles from Guaymas to Cabo (yes, ferried part of the way) two years ago, have encountered many military checkpoints with no problem. Today, 7/10/2019, upon crossing into Mexico at Lukeville/Sonoyta, I (retired female travelling alone – not unusual) was inspected at the Military Checkpoint. First time ever, the money envelopes I’d hidden and secured in my purse were opened and $120 missing. I knew something was amiss when I re-entered the car and, when I tried to count my money, they ordered me to move, go. When I pulled over a block later and discovered the 6 20s missing (yes, I am a bookkeeper and knew EXACTLY how much I had), I turned the car around and confronted them.
After 10 minutes, during which I wrote down the names on their uniforms (Clark and Chang — the third one did not get close enough for me to read) and said I would file a report, more back and forth ensued, ending with one speaking into his phone and then showing me the translation, roughly “we did not take your money but, to keep you happy, we will get it for you”. In the meantime I phoned a friend, a retired cop, filled him in as quickly as I could, and then left the call open and bluetoothed so he could hear the conversations when the agent(s) returned. I finally received, passed through the backseat and below any line of sight cameras, a US $50, a US $20, and $1,000Mxn, slightly over the $120 they’d taken (couldn’t very well give me back 6x 20s, since ‘they didn’t take it’. But, before he’d give me the cash, he wanted the paper on which I’d written their names. I gave it to him — like I’m going to forget CLARK and CHONG!
I’ve heard others complain about this checkpoint periodically, and I usually put my cash envelopes in one inside pocket of my denim jacket and my cellphone in the other, but it was 111 degrees when I crossed today and I didn’t have my denim jacket on, so chanced it, leaving $38 visible and hiding the rest. The $38 wasn’t touched – the hidden envelopes were.

Hi Heather,
The first port of call should be the check-point where your phone was left/taken; ask to speak to the commanding officer. Otherwise, try contacting SEDENA https://www.gob.mx/sedena – the Secretariat in charge of the army.