This may be a independent agency (reseller) that "alludes" to representing your energy company, 'needing' you to return their call. They are probably wanting to switch your service because they are asking that you have your billing statement (no doubt to obtain your account number) when you call them back.
Left me voicemail requesting call back. Said it was concerning my Consumers Energy account. Note did not say they were calling from Consumers Energy. No company name given. Instructed to have my Consumers bill at hand when calling back. Perhaps this is alternative gas supplier looking for new customers. Call center "boiler room" noises in background.