Their name is believed to originate from the first step of the Legion's creation process; for unknown (but presumably notable, if the Legion was named because of them) reasons, exactly one thousand Marines were created and trained first, with the Fifteenth brought up to full Legion numbers afterwards.[7a] There only being one thousand Thousand Sons in existence at a point in time is a fact that, tragically, would repeat itself in the future on more than one occasion.

per lexicanum.com

So I guess they had more, but the galaxy trolled them repeatedly and stole their lunch money.