I received this call as well and I gave all the info they requested. I also called Citi after and both online and their customer service stated that the phone call was legit and it was the Fraud Prevention Dept. The number is legit, the caller ID said Hagerstown, MD.
I read that many of you find this to number to be legit...but I am concerned. Just returned a call to them when they told me of possible fraud use of a citibank number. Haven't used a Citibank card for years - so when they asked me for my account number I told them I didn't have one. When I explained I closed my citibank card a long time ago and destroyed the card they then asked me for my SS number. When I refused to give it to them they hung up on me. Sounds phishy to me....
This is most definitely a scam, as are some of the comments above. Call the Citi customer service number on your card, as I did. This is not a Citi number and this isn't how they let you know about fraud. Then report the scam to the Federal Trade Commission, as I did. Eventually they will shut it down.