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 recording a professional voicemail for your business, your validity is evaluated subconsciously by those who call you. Don’t make the mistake of overlooking this simple yet valuable component of your brand! Here are a few voicemail examples you can record using your phone system.

e. Never Assume Anything: Phrases like “You Know What To Do,” “Sing Your Song at the Beep,” and others mentioned above are awful to leave in your greeting. For the sake of universality and comprehensiveness, NEVER assume the caller knows what to do. Lay it out clearly. f. Leave a Message: This phrase, by itself, will not do. It’s imperative for users to identify themselves in their greetings. Callers need to know they’ve reached the right person. g. Disregard Lethargy: If you’re not excited about your greeting, why would anyone else be? Never display a lack of enthusiasm in your greeting as it could turn callers off to both you and your business. h. Speak Clearly and Never Slur: Callers need to understand your every word; therefore, mumbling, slurring, and all other detractions of speech should never be recorded. d. Be Creative Without Sacrificing Quality: Callers know how voicemails work–i.e. leave a number, message, etc. While you want to be clear, it’s important not to be contrive or redundant with your message. Creativity can help users to differentiate themselves, as well as intrigue callers. While users should avoid the tropes of creativity listed above, it’s definitely good to think outside the box. That being said, scripting and practice can help users to experiment more with their greeting–ultimately allowing for more unique and creative approach. e. Speak With Diction: It’s important to present one’s self as an authority without alienating callers. As such, it’s crucial to articulate and speak with clear diction. “ if your voice recording has you stumbling over words and speaking haltingly, it does not convey confidence and competence,” states Ron Sellers of Grey Matter Research & Consulting. Remember, this greeting represents you; therefore, you want to appear collected and professional, as well as welcoming. To do this, one must carry themselves well through their recorded message. f. Account for Timeliness: Your message should be concise. No caller wants to be sitting through a rant/diatribe of redundant statements. Your greeting should flow without dragging. Inversely, one doesn’t want to be terse, either. Engage callers with a simplified approach laden with creativity. h. Account for Quality: Aside from speaking clearly, users want to eliminate any noise in the surrounding environment. The quality of the greeting is just as important as what’s being said in the greeting itself. As such, one doesn’t want to undermine a great message with poor quality. i. Courtesy, Tastefulness, & Tact: This is pretty self-explanatory and straight forward–NEVER be rude. Being light-hearted and humorous is very different from being obnoxious and/or abrasive. Again, these tools can be helpful if utilized properly, but not everyone perceives humor the same way. So play it safe. The last thing your voicemail greeting should do is offend a caller. k. Provide Options: if you’re part of a bigger company, it might be good to offer caller options. For example, allow a menu to defer callers to a colleague or co-worker in your absence. This can help show callers you care about their well being. Another option might be offering different modes of communication–i.e. email, fax, etc. In offering users diversity, contact may be much easier to maintain.
Consider adding 'You can also email your query to us at [insert email address here]. These queries will be answered within [insert time frame].' Again, if you intend to make a promise to your customer in a voicemail, ensure you keep it.