Should I return a phone call from a collection agency that doesn't name their client in the message?

I have two phone messages from an attorney's office. They give me a "case number" and told me to call an 800 number because I am being named as a defendant, but do not name their client or that nature of the matter involved. I think this could be in regards to a collections issue, but I am not sure, as I have had no legal documents delivered to me regarding the issue. I have been advised not to call the number, as this might be a call from a collections agency as an intimidation tactic, merely a threat of a lawsuit rather than an actual lawsuit. They left no information about their company other than their name (which I cannot find on the web) and the 800 number. Don't I have to be served with official court documents to be sued? Can calling them hurt my credit or my case, if I am, in fact, being sued?

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