cash net marketing department of law and investigation Phone Call-regarding payday internet loan?? Denver, Colorado

I received a phone call from # 775-996-0286 and someone with a thick accent said I needed to call back asap because the department of law was going to file charges against me.  So I called this number-he gave me a case number-mentioned Martin Scott and that he was filing charges for a cash loan I received off the internet and that I had never paid and was I prepared to go to court?--I have never gotten a payday loan through the internet--he knew my address and phone number and wanted an email address---but I then hung up telling him---No was not me---After reading and being warned of so many scams---I felt this was strange!!!   Maybe I should file a police report??   What do others recommend??--Thanks