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.