Possible Con artist trying to scam people by phone?

I got a call today from a "so called" Investigator Davis, who left a message and claimed a friend of mine was involved in a federal fraud case. He went on to say he needed a verbal statement from me to release my name from an affidavit. He claims I was listed as a reference. I know it is a scam. I looked it up. He is calling from a (404 area code) Atlanta Georgia number. Who do I report this to? Local police officials do not care because I called already.