You guys on the same apple id? You probably need to set up different (exclusive) email addresses in Settings > Messages. Take out the apple ID which is typically an email address. If all of you are using that same email for iMessages, then all of the devices will get the message. I have 3 apple devices, so it works for me to get the same message on all three devices, but if someone else is using one of the devices, then that's where the problems start. The Apple ID lets you share apps, but you may not want to share messages.