United Cash Advance calls from Milton with Talbot and Assoc threatening to have me arrested, Internet

So I got a call today at work and on my cell phone from 305-438-6150 from Milton with Talbot and Associates.  He said there was a fraudulent charge from 10/31/2010 that needed to be addressed or else there would be a warrant for my arrest.  He said he represented United Cash Advance.  He had my current address, but I did not live there in 2010.  I would not confirm my address, I only told him I did not live at that address in 2010.

He then asked if I was denying that I applied for this loan, and I said yes, then he told me papers would be filed in the morning to have a warrant out for my arrest.

I am very concerned but not sure who to notify, my local police??