I received the same message twice. I called back and asked them to be removed from their list. They said it was a very serious matter and that it was a federal agency and therefore laughed at the thought of removing me from their list.  He said fine then ignore us, we'll take further action. I said that's not happening someone should take further action against you. He laughed and said alright then. He asked for the number I was calling from.  Shouldn't he knows that?
Whatever, tired of these types of things, I knew it was bogus because I have nothing to worry about, but wanted to call and see what kind of angle the would take.