I support Mobile Devices in a firm with over 31,000 devices, and recently had a partner with a BlackBerry who, if I remember correctly, was in Costa Rica and could not get his email.
When I spoke to AT&T, they said not only did they not have data service in Costa Rica, but that there was NO data service available in the entire country!
I could have the wrong country, but it's not listed here:
International Text Messaging | AT&T wireless services
You should contact AT&T to be sure.