Never perpetuate a myth. If the phone rings and gives no SIT, then they know you have an active number.
Scam/spam callers like this don't exchange lists. That would mean someone else knows who they are and what they do.
There's nothing wrong with refusing to answer. There's nothing wrong with never calling them back. There's nothing right about basing your actions on a misconception -- or trying to get others as confused as you are.