Their goal is to disable your ability to judge the call itself on its merits, and instead put you in the awkward position of rejecting them where there is at least some chance you'll cave and do their bidding. The Cryptic Messenger not only has the audacity to leave vague messages with selfish purposes, but also has the nerve to interrogate you later if you don't get back to them. Amazingly though, they'll still leave the same enigmatic message for the remaining one percent of their calls where they're not asking you for something.
They are calling about something arguably illegal.
What They'll Never Understand:
If they cannot bother to tell you why they called, you cannot be bothered to think it was important. As people slowly catch on, the Cryptic Messenger's calls stop getting returned. This utterly baffles them.