ok, when I called this number back immediately it said that this number has been disconnected.  (How did they call me then?)

Scammers and telemarketers will spoof numbers (input a fake one) in the Caller ID you see, so their real number gets hidden and you can't call them back on their phone. You are calling the phony number instead of them and it could very well be some innocent victim who's number they chose, other times its a number not in service.