Neutralino dark matter and naturalness of the electroweak scale

If weak scale supersymmetry (SUSY) is to somehow explain the radiative stability of the Higgs boson mass, it is likely that non-minimal variants of SUSY models should be considered. Under the assumption that the dark matter of the universe is comprised of neutralinos, recent limits from direct detection experiments as well as dark matter abundance measurements place stringent bounds on the naturalness of minimal supersymmetric models. We show that even non-minimal models introducing moderately decoupled new physics in order to address the Higgs boson mass problem face similar issues, with one interesting exception.