If they insist, tell them you will hang up and call their office in the phone listings.
That's EXACTLY the way to do it.
We got a call like that last year at my business from a woman with a heavy Indian accent claiming she was from the IRS. I asked my receptionist to tell her that I have a big male donkey waiting. The scam lady was so stunned she had to ask for a confirmation and she got it. The IRS always sends a letter, never calls on the phone.