Report them here, and advance fee loans are illegal period:
File reports with the FBI, your state attorney general and Department Of Justice,CFB,FTC & FCC..

http://www.nw3c.org/
http://www.ic3.gov/default.aspx
http://www.fbi.gov/
https://www.ftccomplaintassistant.gov/#&panel1-1
https://esupport.fcc.gov/ccmsforms/form1088.action
http://www.consumerfinance.gov/complaint/

http://www.consumer.ftc.gov/articles/0078-advance-fee-loans
http://www.fraud.org/scams/direct-marketing/advance-fee-loans
Payday loans
http://www.paydayloaninfo.org/state-information

I just spoke with the same,"attorney" named Matthew Shaw and I asked for an address of their location. They gave me 500 Indiana Ave, N. Washington D.C.  20001. I asked if there was a suite number and he said "there is no other number besides the one you are calling." I then asked him if he knew what a suite was and he replied no. He said he was going to call the U.S. Marshalls... I laughed and he got a bit angry. I googled the address and it's a courthouse. Real legit, I think not. I knew this has scam all over it! I just don't appreciate them having my social.

Do not answer these calls they are scammers that want to get your money!!!!!!!!!!!!!They will try to scare you to pay them..........Whatever you do do not PAY them any MONEY.........................They will keep doing it until you are bankrupt......Let them work a REAL JOB for the pay.........................................

I was contacted today for the first time. The same exact thing happened to me as what happened to you Sunni. I was told I did not pay some fee for a payday loan advance application fee of $90 and that I now owe over $5000. He said the police would be showing up in an hour. I told him I will have a lawyer contact him back and actually called a lawyer because I thought I may get picked up at work. The lawyer stated that this guy is full of ish and to ignore it. I did file a complaint with the federal trade commission and advise all of you to do so.

consistently  calling about car loan or payday loan/ advance.  politely asked to stop calling that I have never applied for advance or loan.  they keep calling  up to 20 times a day or more no joke!  told them to take my number off their call list.  they hang up on me. I call back and they hang up again. I block the number and they call back with another number.  it's never ending!  this is harassment  it is illegal and needs to stop!  there has got to be something we can do.