Are you monitoring the broadcast address with the arduino? Broadcast works differently than unicast. The packets are not sent to each device on the localnet. It is transmitted to the broadcast address for that network. For an example, if your ip address for the device is 192.168.0.1 with a subnet mask of 255.255.255.0, then the broadcast address for the network is 192.168.0.255.
edit: If you check with a packet sniffer, you will find the broadcast packets have the broadcast ip as a destination address.