Be careful with trust if you call them back. There are possible ways to trick you into either staying on line, or just taking over your connection. GSM has pretty shitty security.
The "staying on the line trick" is just fear mongering. On any digital phone line (including landlines, which are just SIP with a SIP-to-analog converted) the call is disconnected (as in a call clearing message is sent by the phone or converter) as soon as you hangup (which will make it all the way to the scammer's phone and disconnect the call on his end too). Re-initiating a call after this would involve a call setup message, followed by a ringtone and you'd have to explicitly pick up the phone for it to be reconnected. There's just no way for this to happen on modern phone infrastructures.
