I wouldn't call back if I were you. They could just be checking to see if a person picks up the phone and then you are marked as a target for future telemarketing and scam calls.
My suggestion, if you do not recognize the number do not pick it up. Otherwise if the caller starts to leave a message and you know who it is you can pick up the phone.
THIS PERSON CALLED SAYING THEY WERE FROM MICROSOFT AND THERE IS A POTENTIAL THREAT COMING FROM MY COMPUTER. MEANWHILE I USE THE LIBRARY COMPUTER AND DO NOT HAVE ONE