I don't have an AMEX either and they left the same automated message as "jasonfloyd" on my work voice mail. I belive it's a scam to get info. from anyone calling back or answering the phone.
I have received the same calls from 415-350-0333 claiming to be American Express and to call back with my account number. If you reverse lookup this number on WhitePages, it comes back with Blue Licenses Holding, LLC. I researched that name some, this appears to be a holding company for a block of pre-paid cell phone numbers from At&t (formerly Cingular) and Trac Fone. In my case, I do have an Amex account, but, it's in good standing.