Telephone calls from unknown sad folks are not rare; we got one in the middle of the night during our time in Scotland. The guy was answered by my wife, and she quickly handed the receiver to me. l listened for a while, then told the guy he was truly a sad sack of shit, and hung up. He didn't call back.
Pest calls are common here in Spain; I now have a list of such numbers that I keep beside my 'phone and as a consequence, unless I recognize the numbers calling me, I never pick up. If they are new, I dial the numbers on Google and usually there's a history. In the main, I think they are just folks trying to sell subscriptions, but some are listed as malicious.
In your case, I think I'd notify the fuzz just to make that initial registration; it may be very good to know you have taken that first step. However, in general, I would not reply to calls that have no positive means of identification - after all, a genuine person wants you to know who he/she is and be able to contact him or her.