sms

Sure, and then what do you expect to happen at the other side ? A modem is just a modulator demodulator that pushes some bits and bytes through a cable.

Just in case you expect it to finally reach a mobile phone, that requires some infrastructure that has to be there.

Rene

Yes. Use your modem to make an internet connection and then go to a company like Orange or Suncom that lets you send sms from their website to phones on their own networks.

Peter

Generally not. Not by virtue of it being a modem, anyway. There are gateways from internet Email to SMS, though.

And recently plain old telephone service and hardware for that has started to pick up SMS capabilities, too.