I usually respond to conversations like that with "you started this conversation with a blatant lie, why the hell should I trust you enough to do any sort of business with you?". They often call back almost immediately in the hope of someone else picking up the phone instead of me.
Other common lies are "I'm a personal friend of Mr Anderson" (Mr Anderson doesn't exist, we made him up and listed him in a couple of places as our resources/personnel manager) or "I was talking to earlier today" (that one is particularly fun when they state they were just this minute talking to someone I has been sat opposite me talking to nobody for the last hour or few).
I've stopped being nice to them. I don't even make an effort to be professional.
Some companies will call repeatedly, day after day, sometimes several times a day. The only way to get rid of them I've found is immediately asking to talk to their boss to discuss being taken off their lists and demanding to talk to their boss until you get to or then hang up. And if that fails find the company's address and send them a letter by registered post stating that we do not want to deal with them, will not give them any more of of our time for free, and that any further calls will result in them being invoiced for our time at our consulting rates (we've gone as far as that twice, both times we heard nothing else from the company in question afterwards).