Sometimes the caller will not want to leave a message on voicemail or would prefer to contact you via alternative means.
You can change your voicemail settings from the Skype for Business Settings page. You can get to the page by using one of the following methods:

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.
The above section details types of phrasing to avoid; however, it doesn’t detail what users should NOT say on their greeting. Though this is a bit loaded, as there are hundreds of combinations of things one shouldn’t say, there are some key components users should ALWAYS avoid. a. Forget About Slang: You should strive to be as professional and welcoming as possible in your greeting. While this may steer you towards using slang, in an attempt to make callers comfortable, it’ll most likely work against you. As a professional, your demeanor, tone, and speech should be clear cut and well articulated. Using slang undercuts this and works against you. b. Don’t Even Think About Profanity: This is a no-brainer. Never, under any circumstances, curse in your greeting EVER! c. Keep Your Sentences Clean, Don’t Ramble: Introduce yourself and give your caller specific direction. Avoid long diatribes detailing tangent thoughts. Keep it simple and quick. d. Always Return Your Calls: It’s important for callers to feel they are valued. Nothing dissolves this quicker than a greeting that doesn’t stress this. For example, “I’ll call you when I can,” “If I don’t return your call, please call back”—these phrases are terrible and completely destroy any good will you may have with a caller.