Like default locale says, the phone would explode along with the bomb; So nobody would ever get to see it/recall the last number. Removing the last number should only be done if the bomber fears to be discovered. As the bomber has successfully bombed before and nobody on the train (without time travel capacities) can even begin to expect something, he doesn't expect someone to find his bomb.
You have to place yourself in the bomber's place. If you assume the bomb to fail, then you could just as well abort the mission. There's also a million other more important things to worry about (getting the components, building the bomb, smuggling it on the train, installing it, other bombings,...). Why not use a better/more reliable stand alone system (other than GSM) to trigger the bomb. Nobody would be able to trace that. Why not use a more basic phone with no memory at all? Why did he call the phone in the first place?
Just one of the many design choices you have to make while building a bomb and it doesn't seem too important compared to major issues (I would worry about hiding my explosives).
EDIT : Just thought of another explanation.
If you want the bomb to explode only when receiving a call from a specific number, then you have to store that number in the cell phone. If you don't, it might blow when a telemarketer calls for an advanced subscription plan.