Thanks for writing. I'm sorry, but without being able to see your willow, I can't say for sure what's making it lose its leaves.
I'd contact the folks at your local cooperative extension service in Albuquerque and see if they can help after you answer questions for them such as where the willows are planted, if the leaves are dying in a certain pattern (from the top down, bottom up, just randomly, only on certain branches, etc.), how old they are. Giving the staff at your cooperative extension service more pieces to the puzzle like this should help them answer your question a lot better.
You can reach them at http://extension.nmsu.edu/ "