In Entra, select "Security" > "Authentication Methods" > "Policies" > "SMS" and make sure 'Use for Sign in' is not enabled.
If enabled, this setting means that people can log in with a cell phone number + SMS code instead of an email and password. These are likely the the reason you're receiving the verification messages, especially if you're not seeing sign in logs associated with the codes. There appears to be some sort of bad actor campaign targeting this login method, for what purpose, remains to be seen.
The reason you're not seeing a sign-in log is because the account is only being authenticated with a username (the cell phone number in this case.) No password (the text code) is being entered.