Thanks guys. Should I save that mobile number and make a note of every time they call for my records?

Hi everybody, I've just had a call on my mobile from an unrecognised mobile number. I didn't answer because I'm at work and am not really supposed to. They left a voicemail saying it's imperative that I call them back today before 5pm. As far as I'm aware I have no outstanding debt that I'm not making monthly payments to. Should I call them back? Advice would be much appreciated. Edit: They've just sent me a text as well.