It's someone running a scam (fraud) of some sort. They were "spoofing" their Caller ID: 405-272-8496 was not the phone number that called you. They just faked the Caller ID to show that number – hence the disconnected notice when you tried calling back.
For future reference, you should never call back an unknown number that calls you and doesn't leave a message. There are a lot of reasons for them not leaving a message. None of them are good.