It would be quite difficult to sue them since they are not residents of the US but calling from a foreign country, likely India or Pakistan, using cheap Internet phone services to make their scam calls. The US with the cooperation of the Indian government has managed to bust a group of these scammers but there are literally hundreds more still running this and other scams.
Thanks Mike. You are probably right, but these kind of harassing calls go way beyond the usual scammers. It's scary for anyone when you get a threat like this, even if you know better. Thanks for your input though!
Just received the same voicemail. I called back. They are a crock of poop! Don't waste your time or energy contacting these people or picking up the phone on them! Horrible I wish we can report them somewhere.