I never answer the phone unless I recognise the number - if it's valid they'll leave a message.
I've mentioned this before on a previous thread: I had a voice mail from a well-spoken young woman saying I needed to contact her re suspicious activity on my bank account. She had the right bank and nearby branch, my correct name, and mobile number.
I was very tempted to call the number and give her a piece of my mind but resisted the urge, after all she almost certainly also had my address.
These people are criminals and it's best not to engage with them, particularly if they are 'local' and not calling from overseas.
It's not a game.