These people have been harassing me. They are leaving my ss# on messages stating I owe them money and I do not. I have never took a lone from them. They are stating that they will have me arrested and the police is going to come to my home. They have called my work and left messages that should be privet. Like giving out the last  4 #'s of my SS #. I don't know these people or company.

There are several debt collectors by the name of Horizon, so posting more of the name would be a help to us to get information on them.  What they are doing is illegal.  You cannot be arrested because you did not pay back a loan.
Go here, read up on your rights and file reports:
This is a common ploy by criminals attempting to extort money from people by scaring you into believing that you will be criminally charged, go to jail, lose your driver’s license, have wages garnished, etc. all for an alleged or nonexistent debt.
Federal law (FDCPA) requires them to send you a letter (US MAIL ONLY) within 5 days of their first contact that contains their name, physical address, the creditor’s name, and the amount of the alleged debt.  It also must contains “mini-Miranda” telling you that it is an attempt to collect a debt and that all information will be used for those purposes.  The one other important thing that this letter must also have in it is that you have a right to dispute the debt within 30 days receipt of the letter and if you do so, all collection activity must be stopped until the debt is verified.
Read up on your rights here, get template letters to send and also make a complaint at this government site:  http://www.consumerfinance.gov/
Also file a complaint with your State Attorney General's office.
List of State AG’s offices:  http://consumerfraudreporting.org/stateattorneygenerallist.php