Why am I getting text messages when roaming, mobile data and wifi is turned off?

sms messages predates the gsm data modules it use the voice gsm module

so wifi and mobile data would not have any affect on them being received, and when it comes to roaming then it's default that one still get sms unless one have some agreement with the carrier about it not being enabled.

Texts use the cellular network and not data or wifi.

If you are getting roaming charges I would suggest you contact your carrier.