advice please!

I received a call to from 307-200-4501 saying i was going to get sued from a payday loan from 2010. Here's the deal I was told that internet payday loans deposit the money in either your checking/savings account.. well since 2007/2008 I haven't had a checking account up until Feb 2015. They named an address i had moved from Dec 2008 so before i can explain to this lady that this is the first i'm hearing of this and was never contacted about this before she got rude and told me get a lawyer and she will see me in court and hung up in my face. I check my credit report regularly and this has never been on it from any collection agency. I googled the number for the name ofthe company and an address to send the a letter of validation and nothing comes up no information behind this number. So now how would I go about getting any information to get that letter to them. I also reported it to the CFPB.