That is crazy, what carrier?
It could be something wrong in your APN. google, "Nexus 5 ATT APN." XDA should be a link.
edit: found this for ya
APN: pta
MMSC:
http://mmsc.mobile.att.net
MMS port: 80
MCC: 310
MNC: 410
auth: none
APN type: default, mms, supl, hipri
EDIT: here is actually two that both work:
APN Name: PTA
MMSC:
http://mmsc.mobile.att.net
MMS Proxy: proxy.mobile.att.net
MMS Port: 80
MMC:310
MNC:410
APN Type: default,mms,supl,hipri
APN NAME:ATT Phone
APN: phone
MMSC:
http://mmsc.mobile.att.net
MMS Proxy: proxy.mobile.att.net
MMS Port: 80
MMC:310
MNC:410
APN Type: default,mms,supl,hipri,fota
First time I have seen that. Are you by chance on wifi that may block it?