Simple, when you send an SMS to more than 1 person, Windows Phone compose the message as an MMS. Depending on your phone brand and/or network operator, you may not have an MMS profile on your phone, thus the sending failed.

By "they" I'm assuming you mean Windows Phone. It depends on how the message is composed, for some reason, when composing multi-recipient message, there are times that Winphone will convert that message into an MMS even though you had not attached media to the message.