Numbers have higher precedence than strings so of course the +
operators want to convert your strings into numbers before adding.
You could do:
print 'There are ' + CONVERT(varchar(10),@Number) +
' alias combinations did not match a record'
or use the (rather limited) formatting facilities of RAISERROR
:
RAISERROR('There are %i alias combinations did not match a record',10,1,@Number)
WITH NOWAIT