What disturbs me is, on the message they left, they say I applied for a payday loan with them. The only loans I have applied for in the last five years were for a car and mortgage. I don't think I have anything to be concerned about, but I will be keeping a close eye on my credit report for at least the next few days. I'm thinking I'm going to report this one as well.
You may want to contact the three credit bureaus - Experian, Equifax and TransUnion - and ask them to place fraud alerts on your files. I believe the fraud alert is in place for 90 days - you'd have to check on that. In any case, no legitimate lender will call you up, out of the blue, so I believe you can safely label this caller as a scammer. Whitepages.com lists this as a "VoIP - Bandwidth SMSEnabled" number and also "suspected spam".