Is that certain number using an iPhone, and did you keep your number when you switched? If so they are probably sending you iMessages rather than SMS, and iMessages only work for iOS devices. This has been a long-standing problem with iMessage, and one which many people felt Apple were very slow to fix (a cynic might think because the bug worked in their favour if it deterred switching, or if the switcher assumed that it was their new phone which was faulty).
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