How can I stop the cash loan people to stop harassing me?

I started to apply for a loan online and half way through the process I decided this was something that I didn''t want to do. Now I have this foreigner that keeps calling and harrassing me at my job constantly and cell phone threating to arrest me saying that I owe them money and I never even received any money. They have my social security number and all my job information. They are going so far as to trying to get me fired from my place of employment. They are calling me from all types of different numbers that are international numbers. At first he presented himself as an investigator officer but when asked for his badge number he wouldn''t give it to me. This harassment has been going on for a month now and it''s very frustrating. Is there something I can do to have them to stop calling my place of employement and cell phone number. Yesterday they called my job 16 times in a row..