Fraud. Don't answer them. Don't call them back.  They won't send police and you won'T have criminal accusation.
They can't do it. They even don't know your name.

Like Phil said.  Don't panic.  Total scam!

I received a voicemail 0850 Aug 28/2015. Pakistani sounding male voice claiming to be officer Jonathan Knight. Stated I was under federal investigation due to discrepancies in my tax filing. Threatened that if I was to disregard the message it would be an offence against me. I did not receive anything by mail and have not yet- 2 days later- received any follow up calls. This is a scam- do not give out any information!

Same experience as those above. Total scam as far as I can tell. Any previous dealings I've had with CRA have started with mail and provided contact info to one of their centers.

As like all the others above, an East Indian male from "Revenue Canada" warning of a Federal Investigation due to a tax filing misconduct on my part. Bull**it... be familiar with the phone number noted and don't answer the call!!!