Collection question

I was contacted by a collections department regarding a loan for a family member. I was not on the loan and had nothing to do with it, which I was even told by the company. They had my personal information and told me they could obtain personal information on anyone who could possibly help them find whom they were looking for. The caller stated he had obtained my information, even though I had nothing to do with the account, and it was legal to do so.

Is this legal? I have never heard of a situation in which anyone could pull information on a party who was not involved in the situation. Could I be at risk of this company using the information they have on me to take money from me for a debt I do not even owe?

I am sorry if I posted to the wrong forum, but obviously I am concerned about my financial welfare, what my rights are, and what I can do to stop this.

Thanks for any help you can offer.