When an operating system receives a major overhaul or update of any kind there's always new bugs to deal with that didn't exist prior to that update. Android 5.0 Lollipop is by far one of the largest update ever to Google's mobile operating system and while it comes with a boatload of improvements, a massive user interface overhaul and just general buttery smoothness, not everything is peachy keen in all parts of the world. Particularly with Nexus devices, namely the Nexus 4, 5 and 6, there's a massive SMS bug that is literally preventing users from sending any kind of SMS message at all on some carriers. Obviously this is a major bug and one that will be addressed as soon as humanly possible, and it can even be found on Google's bug tracker and has been acknowledge and is being worked on.
Right now only users on Vodafone and Ziggo Netherlands, Vodafone India and Mobistar Belgium are being affected, but it's a big issue. Besides never reaching the destination where the message is meant to go, users are also reporting that the messages are being charged as international messages, giving some a serious headache when it comes time to pay their phone bill. At this point the only solution is to either not install the Lollipop update on the Nexus 4 or 5 in these regions, or to downgrade back to Android 4.4 KitKat if you've already made the jump. If you're one of the lucky owners of a Nexus 6 in these territories just don't use SMS at all, as it's not going to work no matter what you do.
We'll keep you up to date with this issue as soon as Google releases something, but for now you can follow the bug report on your own to see if Google provides a quick update. Thankfully since these phones are updated directly by Google, as soon as the fix is finished it should push out to phones almost immediately. It's highly unlikely that Google will go with its usual staged rollout of updates since this is such a big issue and it's likely going to be a pretty small file size anyway.