The observed weakness of Mercury's magnetic field poses a long-standing puzzle to dynamo theory. Using numerical dynamo simulations, we show that it could be explained by a negative feedback between the magnetospheric and the internal magnetic fields. Without feedback, a small internal field was amplified by the dynamo process up to Earth-like values. With feedback, the field strength saturated at a much lower level, compatible with the observations at Mercury. The classical saturation mechanism via the Lorentz force was replaced by the external field impact. The resulting surface field was dominated by uneven harmonic components. This will allow the feedback model to be distinguished from other models once a more accurate field model is constructed from MErcury Surface, Space ENvironment, GEochemistry, and Ranging (MESSENGER) and BepiColombo data.