BMG Services Harrassing telephone call - claiming that I owed money and was going to be sued. Manhattan, New York

Today my husband called and stated that someone claiming to be a collector left a voicemail on his work phone saying that I owed them money for a payday loan.  I asked him for the number and then researched their number and found that there are many claims for this being a "scam" reported about them. 

I called the number he gave me and the women started saying that I owed money, etc.  I asked her for a full report via email or mail be sent to me on the claim.  She stated that I should have all of that because I downloaded it off the internet.  I said "no" if this is a real claim I would have received a notice via mail.  She asked for my mailing address and I gave her my PO box.  She then hung up on me. 

I then did more research and found many other reports on the phone number that I called them back on.  I googled the number and found that it is based out of Manhattan, New York.  

I then called them back and said....call me as I need your email and mailing address so I can report this to the FTC, FBI and the SEC.  Of course they have not returned my call nor have they sent me the requested email with their mailing address.