There has been some buzz about this incident on the border in Arizona. Here is a copy of the Rules of Engagement that the National Guard is constrained by.
I commend the Guardsmen for being smart enough to pull out. If you see armed guys approaching your position and due to the spinelessness of one's political masters you lack ammo for your M-4, then discretion is the better part of valour. These guys found themselves in the same position as the Marines in Beirut, no ammo and interacting with people who want to do harm.
Bring the heat onto these politicians who are not willing to defend the soverign territory of the United States of America while promising these soldiers to not fail them.