They keep calling and leaving messages that my identity was stolen and my social security number is being abused but don't say who they are

They were leaving me messages and when I called back they wouldn't tell me who they were. Since I didn't call from the # that they called me on they were extremely rude and would not provide any details.

Today I called back the number and told them I had the local police on line with me and they hung up immediately. They have called several times, so I answered one time a few days ago. They wanted me to identify myself. I told them that I wanted to know WHO wanted to know who I was. They said they were some legal entity. I never gave them my name, but they asked if I was ____________the name on my phone account. I would not confirm with them. I told them I wanted to know who they were first and what her name was. She said they needed to confirm my name, SS#, birth date and address. I repeated who are you. She finally said "Have a nice day" and hung up. I am reporting to the AG's office in Utah and the local police.  

Received a message on phone stating my bank information & social security number was under investigation for some kind of bank fraud.  1st off, I don't have a bank account & 2nd, the automated message didn't even state the name of the person they were looking for.  

I have received in the past 2 days - 5 calls.  Each time it's the same recorded message saying that they have my name, SS# in a vault and that it's regarding a security fraud or something of that nature.  They as me to call back.  The automated caller says they are from Legal Systems.  I have not called back.  I HAVE REPORTED THIS TO the Attorney General in VT.  I do believe it's someone trying to steal identity.