Can I get arrested for breching a contract I have no clue about?

Yesterday I received a threatening phone call from a office who claim to be investigators in Pensacola fl collecting on a payday loan from a company called emerald marketing group. He first said that I owed 1,000 dollars and if not it was going to cost me 2,800 to bail out of jail. He also mentioned my Wells Fargo account which was closed down.. I told him I had no knowledge of this and would speak to my bank I later called my bank and had them reopen my closed account and had the rep check any deposits made from this so called eMG payday loan.. And she reassured me nothing had been deposited nor taken out.. Only deposit that was made was a manual deposit made by me at the branch for 500.00. So what should I do about this they threaten me with legal actions but I do not have any knowledge or any proof of this loan..