Radios capable of receiving shortwave bands aren't exactly rare among normal people. They're not really "special hardware". Just owning one would not be inherently suspicious.

What would be suspicious is being in possession of the one-time pad needed to decode the messages, regardless of which media those messages are transmitted through.

For the record, "numbers stations" can be found in nearly every communication medium, including the web. The advantage of using shortwave (range, primarily) are large enough that the benefits outweigh the drawbacks.