Caller: I don't know

The number called me and a recoded voice said they are from the ATO and I am wanted for criminal activity etc. I stayed on the line and pressed one just to hear what they have to say. After listening to some music and being put on hold, an Indian lady answered the phone saying "This is the ATO, can you give me your name so I can pull up your details?". I said you called me, shouldn't you have these details? Then after a while, she put down the phone on me.