I think it might be to the settings you have. Try going into the messaging app and hit the menu button then go to settings. At the top it says storage settings where there's a check box for delete old messages, text message limit, and multimedia message limit. I think the box is checked by default and set at 200.
Try unchecking the box or changing the limit to 5000 which I believe is the max amount. It took me a while to figure out why my texts were getting deleted too.
Hope that helps!