I had a similar cold call years ago. It may have been my bank or possibly a utility, and the call was related to fraud of some sort.

When I asked to call them back to verify, they said (from memory):

- Call us back on the main line, you can find it on website.

- Press option 9

- Enter the five-digit code: 51762

And got transferred straight back to the caller.

I thought this was a fantastic idea.