I did not answer and they did not leave a VM. When I tried calling the back I got a message that said "The person at extension, goodbye." Since they left No extension number, it seems real shady.
The key to telemarketers is to BE POLITE and ask them to remove you from their list. BY LAW they must do so!
If you continue to receive calls from the same number, they are obviously scammers that do not operate under the constraints of the law and therefore need to be reported.
Scroll this forum for the guy with a response describing how to report these people to the FCC.