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.
Before you read this, stop and listen to the voicemail greetings for your cellphone and business line. Seriously, I’ll wait.

Rollover Hunting is a feature that is managed by the Account Manager or Phone Manager. It allows incoming calls to your primary phone line to roll over to the next available line and, if al l lines are busy or not answered, the call can roll over to voicemail. It will hunt through all lines in the group once to find an idle line. You can configure multiple hunt groups and the number of rings before the call is routed to the next li ne. Each hunt group must have a minimum of two lines and a unique primary number. There are three hunt sequence options:
Before you record a professional voicemail greeting, you may want to consider the type of people who might call your home or business. That way, you can think about the information these callers might need before you compose your greeting. Most callers are familiar with how to leave a voice message, so try to avoid giving them instructions. Some things you may want to include in your greeting might be your full name, title, name of your company, and an alternate method of reaching you. If you plan to be unavailable for some time, it can be a good idea to tell your callers when you will return and give them the name and phone number of another individual to call in the event they need immediate assistance. A private voicemail box enables a person to receive telephone messages when the phone cannot be answered.