Jokes aside, it's a bit of a shock the first time it happens, but don't let it get in your head. I had three calls from what sounded like the same bloke over a couple of months. I eventually narrowed it down to Vivastreet and some of the cheaper Eastern European ads I'd contacted.
I just stayed cool and let him run through his script. The first couple of times I told him if he was serious he knew where to find me. Funny enough, nothing ever came of it. On the third call I'd had enough and told him to do one. Never heard from him again.
These clowns make a living trying to scare people into paying. Don't send a penny, block the number, and move on. It's usually nothing more than bluff and intimidation.