If they are calling without an expectation that you always pick up (such as if you are a business coach or a one-man shop) then thanking them for calling might make the most sense.
When you create a voicemail message, the next thing you need to ensure is that your prospects are aware that they have reached the right person so no confusion takes place.

Cell phone voicemail greetings are generally more personal and casual than office phones. Consider a greeting like “Hello, you’ve reached [your name]’s cell phone. I can’t take your call at the moment, but if you leave a brief message, I’ll get back to you as quickly as possible.”
To provide as much helpful insight to businesses as possible, we've compiled the top must-have information that should be included in your office's temporary voicemail greeting. 1. Your voicemail should be timely and relevant to the situation at hand. 2. Indicate if you’re working remotely or changing office hours temporarily. 3. Set clear, reasonable expectations for your callers about when they should expect to hear back from someone. 4. State clearly what types of matters are urgent and give examples of issues that are not. This way, patients and callers can have a good understanding of what to expect about call-backs and reduce unnecessary follow-up calls. 5. If you have made disruptions to existing appointments, you should note this, as well as how you plan to reach people to reschedule.