Not getting 2FA on new iPhone

I recently bought a new iPhone. I erased my old iPhone completely (factory reset) and gave it to a friend. My new iPhone is set up as a copy of the old one, with the same Apple ID.

When I perform a login on my computer that requires 2FA, Apple is not sending the 2FA request to my new phone. It may be sending it to another device I own, such as an iPad, but I'd like it to go to my new phone. How do I tell Apple which device to use for this?

I can work around the problem by using the SMS option, but I'd prefer to have it work without that.