The best thing to do is not even let the message play. If you do not recognise the phone number, stay absolutely silent for 5 seconds, you will hear a little click as the scammers system realises the phone is dead and switches off. After 5 seconds without the clickc say 'Hallo' and if there is someone real there they will reply, if they haven't already spoken.
For all I know Interpol have a Search Warrant for my arrest as do, HMRC, my Amazon account is corrupt, there is a fault on my computer and my bank and credit card supplier have made a cods ear of my account, but I am living a life of blissful ignorance, and strange to say, Interpol and the HMRC have still to send their people round, I do not have an Amazon account and my credit cards and bank accounts are working perfectly and I sleep peacefully.
The joys of just keeping quiet and putting the phone down.