I had one of these when I was abroad recently. I tried to guess my PIN and the Voicemail was blocked. I checked the caller's number with 'Who Calls Me' and it looked like a scam from an unknown caller in Slough. In the end, I blocked the caller and allowed the Voicemail to run out of time and be deleted.
Before panicking, if you don't recognise the caller's number, it might be worth checking with a website like 'Who Calls Me' to see if it is a likely scam.