Received a voice mail message stating that "we had...

Received a voice mail message stating that "we had spoken a couple of months ago." That certainly did not happen, so I returned the call (to a number from Los Angeles). Told them that I would never consider doing business with someone who lied to me like that. Also asked why they did not check the Do Not Call registry in advance. His reply was "it doesn't work like that." Really?????