Phone calls

I have received 5 phone calls and it is a recording saying it is the Lloyds fraud department, they then say my name and ask me to confirm this is me and then say they want to ask me a few questions and then proceed to ask me to give them the details on my debit card. I hung up, but they continued to phone untill I blocked the number on my phone, but what really concerned me is that when I phoned Lloyds I got the same message which means they were intercepting my call. I went into Lloyds and they informed me it wasn't them but made no suggestion as to what to do about it. I'm now going to change me debit card to be to be safe. Why can't Lloyds fraud department do something about this.