Proctor & Gamble Tried to scam me to get information about me. New Jersey

Called and left message saying, "This is Michael Ellis Director from Proctor & Gamble. He said because I have paid all my bills on time, I was selected as winner of 2,000,000 this year. 

Wanted my beneficiary?  I told him it was impossible to believe.He said you will believe it when I deliver your check. He asked if I wanted a private delivery to my home in West VA.  I

said I don't live in West VA, I live in PA.  He said well I will have to get in touch with his office and call me back on my cell, which he didnt ask for and I didn't give him,  and quickly got

off the phone.  I called number and it said thank you for calling Proctor & Gamble..please hold and someone will be with you shortly, please leave your name and number and someone

will get back to you.  He called me back within a minute and said he had not heard from the office yet but, as soon as he did, he would call me back."