The tricky part of this story is that sometimes banks do really call you - it happens to me whenever I do really nonstandard transaction.
Truth to be told I've always seen this as mixed blessing and I have also been "that weird one" who asks the caller for their name and do the callback to the known (read official telebanking) number of the bank...
My colleague once seen that and was like WTF you're doing dude, they're doing you a favour... and my answer was "never trust a caller, just loose one more minute and do the callback to a known and trusted number".