The group also visited the Hotel Mision in Monterrey, Mexico's third largest city, but did not take anyone captive.
They used hijacked trucks to block roads around the hotels in the centre of the city.
It was not clear what motivated the attack.
Drug violence has escalated in Monterrey recently as cartels battle police and the army.
Stray bullets in a shootout on March 19 outside the gates of a university campus in Monterrey killed two students.
The northern border region has seen a rise in drug-related violence in the last few weeks.
At least 16 people have been killed in the two weeks leading up to Wednesday's raid in different attacks in the northern state of Chihuahua, officials said.