Left message saying need to call them urgently to avert a warrant for my arrest.
Sounds like a phone scam imitating the ATO: https://www.ato.gov.au/General/Online-services/Identity-security/Scam-alerts/

Left a messgae to "Inform that your account has been marked lien for tax aviodation. Paperworks sent to registered address has also returned back unsigned and undelivered" sounds like a phone scam