You shouldn't feel embarrassed because you don't owe them anything. I have ignored it and they haven't called back in a week but if they do I am going to give them a piece of my mind.
Same exact thing that happened to me! I was so upset when I got the call. After seeing all of these blogs out here now I feel better. I knew I didn't owe him anything but he was so mean!
When you reported it to the police did they say they could do anything to find them? I am wondering if I should also report mine to the police. I saved both messages that he left for me both on my cell phone and work phone.