Companies mostly don't leave a number - my employer doesn't, if someone tried to return a call via our switchboard there would be no way of the operator knowing who of hundreds had rung out to that number.
The best advice is to invest in the Call Preference Service or another blocking service, it has stopped the majority of our spam phone calls.
If it's that urgent, they would be writing to you anyway, don't be fooled.
Whatever you do, if you do answer, don't give them any of your details, if they are genuine they will already know who you are and your name and date of birth etc.