Nothing to be scared of You wouldn’t get a phone call if you were being investigated for anything I seem to get a lot of these and similar phone messages
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Its a scam, sounds US based to me. I wouldn't worry, if they were really investigating you I'm sure they wouldn't use a recorded message to let you know. You did the right thing in putting the phone down. It will be fine. 
I have just had a phonecall with a recorded message saying I am being investigated by the national crime agency and my national insurance number has been suspended as it has been used in several criminal activities 
at that point I felt scared and put the phone down 
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