Process servers do not typically call in advance to let you know that they have legal papers to deliver. But each community operates differently. I would check with the local court (many post all records online) to see if any legal action has been filed against you.
It is crucial that if there are legal papers to be served on you that you accept them. What you don't know will hurt you in this situation.
This is probably a scam. Call the County Sheriff office and ask for the civil process section. If there are papers outstanding, they probably have them. There is no need to be scared. If there are papers, accept them and contact a lawyer. I am near your area and I can give you a brief free telephone consultation. There is a scam going around now by fake debt collectors claiming to have papers for arrest unless you pay. If you have applied for an online payday loan in the last few years this is probably one of those scam calls.
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If it does turn out to be a scam, then this would be a violation of the FDCPA. Make sure you save all messages and documents and contact an attorney.
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