stolen information

I just received a very disturbing phone call. The man says he is a lawyer trying to help me settle a debt. He says I received a loan of 400 dollars into my bank in June of 2009, which is impossible because I did not open this bank account till October of 2009. He says if I do not meet him to settle this case then I will be arrested either at my home, which he knew my address and other confidential information or I will be arrested at my place of employment, which he also had information on. I expressed my concern to him, stating I did not receive a loan and I am aware of people illeagally retreiving peoples information and trying to con money out of them. He then got very loud and said he was doing this for me. I told him I would not meet him, for I do not know him and I did not receive any loans. I was apply for loans at one point and did give all my information, but I was with another bank and I did not follow through with the loan. I have the phone number and name of this person, what should I do?
I do not want to be dealing with these kinds of things. I do not want to be waisting time or effort in order to prove this accusation. I have always been an honest person and I always take care of my responsibilities. I have always been sceptical about giving my information out, but at the time I was in desperate need of a loan. However, I ended up borrowing from a friend. Its a shame that honest people have to go through these things.