You have to confront them, and ask them for information. Ask where they are located and their address. Ask them to forward to you via mail the debt that they claim you owe. This is the legal way to collect. Tell them that you are also recording the conversation and that you will contact the authorities if they continue to harass you.
I received a call at work from a "Leo Rogers" from 917-464-3022, left a 2 min long voice mail saying that he had urgent need to contact me and that the call was a "document delivery" and that due to the sensative nature of the call he could not disclose details on voice mail. Threatened that I could have severe action taken against me at my place of employment or residence. Barely spoke english.