Complete scam.  If you'd committed a felony, the first you'd know about it was when the cops showed up to question and/or arrest you.  And even if you had defaulted on a payday loan, this is *not* check fraud.   Per the FDCPA, you should not pay any caller who refuses to mail - do not accept email or fax - proof of debt/proof they have the legal right to collect said debt.  Refusal to mail this documentation within five days of their first call is a violation of federal law.  As is threatening you with a felony warrant.  Please do report these yahoos to the FTC, FBI and your state's Attorney General.

www.ftc.gov
www.fbi.gov
www.naag.org - you can find your state AG here.