They can track down the origin of a ip packet as well. To rejoinder the response of "what about vpn" - sms, phone, and letters can all be proxied as well.
The tor project was built specifically to ensure anonymity for internet traffic, and it works well as far as I know.
Phone numbers are not the same, countries require you to verify your identity to sign up for a phone plan, most sane countries have a government identity tied to each and every phone number, and proxying doesn't change that.
The US is weird in that it has some anti-government-identity stance that makes this way less centralized, but regardless, phone numbers are mostly traceable, there's nothing like tor, and the law also treats sms as more traceable.
Phone plans also cost at least something to sign up for.
I will give you that physical letters can be anonymous, but due to postage stamps it's much more expensive to send them in excess.
You can send an ip packet to a service, which will in turn send an sms or place a phone call on your behalf. Such services provide varying degrees of anonymity.
The cost of such services is irrelevant in the present discussion, as we are dicussing sending targeted malicious messages, not untargeted spam.
