Caller ID is just the phone number.  They leave no message.

I call back after hours (using *67 to block my number).  I hear, "The number you have reached is not in service.  This is a recording. <preceeding repeats>"  Then it hangs up.

So they don't identify themselves on caller ID and can't be called back.  Smells like a SCAM.

One person on another site claimed that this is the Microsoft Windows SCAM.