I got a call similar stating if I or my attorney didn't return their call immediately I had waved my rights to counsel and a case would be submitted against me and to govern myself accordingly

Left message reported by rusty on my CELL PHONE yesterday at 9:57 am.

Told me that I had a pay lender who I had paid and threatened with prosecution. Asked if they could me proof. They weren't able to do it. They were just the middle man. I hung up

Prosecution implies criminal charges.  Debt is not criminal.  Debt collectors do not criminally charge people.
Read up on your rights here 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://800notes.com/faq/attorney-general