hi ritesh,
Ya, there are some mobiles available in the market which support as gsm modem, while i was doing my B.Tech i used sony ericsson T10 mobile as GSM modem.
Now a days GSM modules or modems are reasonable chep with a price range of 1700 – 3000 INR. Suggest you to go with ready made GSM module or modem for ease of your project.