Security of SIM has been compromised

I just received an SMS from (+***) saying \You have inserted your SIM card in another cellphone. To request cellphone settings, reply \"yes\" (free SMS) and Vodacom will send the settings to you.\"<br> <br> I am concerned, because this is most definitely not the case. It seems my SIM has been compromised since I didn't insert my SIM card into another cellphone."