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.
But what’s really great about Samsung’s way of dealing with voicemails is the new and improved Visual Voicemail service. This lets you view voice mail messages and listen to them in any order you want. Instead of listening to all of them in order, you can pick the ones you’re interested in. Even more, you can decide to erase or archive them, all from your device screen. Visual Voicemail also includes button shortcuts to call back or text a person that left you a voicemail.

When a message is left with Apple Visual Voicemail, you'll see a notification against the phone icon on your iPhone.
When you get a voicemail, you can check your message from the notification on your phone. Swipe down from the top of the screen. Tap Voicemail ….You can call your voicemail service to check your messages. Open your device’s Phone app . At the bottom, tap Dialpad . Touch and hold 1. How do you listen to your voicemail from a different phone? Call your 10-digit wireless number. When you hear your voicemail greeting, press the * key to interrupt it. If you reach the main voicemail system greeting, enter your 10-digit wireless phone number, then interrupt your greeting by pressing the * key. Can I listen to my voicemail without setting it up?