I used to do the same, but then discovered my bank's fraud department comes up as unknown.. ugh. Calling them back is far more annoying than just answering all the calls.
Fortunately, I came to the opposite (and correct) conclusion, seeing as how I had received the call 30 seconds after attempting to use my Chase card for a large international purchase online and was able to quickly get that issue sorted. Still, it seems to current state-of-the-art that the rest of the bank is not aware of the phone numbers used by their fraud departments.
Searching for that phone number will (if it's legit) likely point to a contact page on the bank's website.