You don't have to deal with collections agencies, and I would advise against giving them any personal information about yourself or verifying any personal information they have about you on file, especially if they're unwilling to give you a callback number. For all you know, it could be a phishing scam, or a new variation on the phishing scam called "vishing", wherein they call up merely to ask you to confirm details they already know.
I really recommend that you read the Fair Debt Collection Practices Act, which tells you precisely what a collector is allowed to say and do and what they're not allowed to say and do:
http://www.ftc.gov/bcp/edu/pubs/cons...edit/cre27.pdf
The collection industry is just too full of shady practices--don't play ball if you don't have to--and you don't. Deal with your debtors directly.