Have you checked your credit record? - it doesn't seem to make sense to pressure someone who doesn't have a loan, it seems more likely that someones commited identity fraud and used your details to get a loan.
I suspect they hope that they can just get people to talk to them, and then convince them to take a loan.
If it is "honest" identity fraud, then they obviously don't have the checks in place to deal with it - either way, they're not good companies to deal with (IMO).