It's a scam to con you into calling the number, makes you think you had a missed call. The number is a 'Service Number' which begins '084'. You'll only have to pay if you call back. Virgin Mobile will charge 36p/min as an access charge and the owners of the number will also levy a fee, through Virgin, which might be £s.
All you can really do is add your complaint to one of the forums concerning phone scams. There doesn't seem to be a specific category for complaints to the telecoms regulator, OFCOM.