I think, in a way, this thing is a step backwards. By using SMS messages for second-factor authentication you are effectively introducing a reliance on the security of a third party: your mobile network operator. As others have said, SIM card or number-porting shenanigans are not unheard of.
The more sensible banks are not making assumptions that all their customers have mobile phones, and are making available other methods.
For example, my mother got a letter about these changes; she shops online frequently, but has never had (nor ever intends to get) a mobile phone. When she enquired at her bank's local branch, they told her they will be issuing card readers - of the same kind as already used for online banking - to customers like her.
Card readers are a more secure option in my opinion. They effectively add a third factor: you need to possess the physical card, possess a reader, and know the card's PIN. But, not quite as convenient, admittedly.