Route needs to be extended west to I-25BL in Raton, per on the ground signage.
New Mexico's "on the ground signage" is about the most unreliable in the lower 48. This is not just my experience, but also that of other denizens of the AARoads forum.
What I can find in NMDOT's online maps (resources I had once depended on are now password-protected) indicate NM 72's mile 0 is at I-25. Also, the most recent (if dated) NMDOT route inventory has NM 72's west end at the interchange with I-25, and says that the former NM 72 segment between I-25BL and I-25 was transferred to the city of Raton in the 1990s.
Until I can reconnect to more recent NMDOT mapping data, this will have to be a no-build. But I recall this issue coming up before, with the same outcome as now.