It's generally a bad idea to call back an unknown number, as nowadays these calls are mostly from scammers. It's a common ploy to call a potential sucker and not leave a message, hoping that the more curious people will call back. What this does is validate your phone number as "live" so they they know they can call again. And again. And again ... you get the picture. Plus, now they have a live number they can sell to other scam artists.
Even though they said they will remove you, they probably won't.
Received a call from this number at 12:38 on Wed June 10th 2015. Did not answer because I did not recognize the number. No voice mail was left. Reporting now.
Picked up the call, said "hello?" and there was a 3-second pause (bad sign), and then someone said "Hi, can I speak with [my legal name that nobody calls me]." I hung up without responding.