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.
No one should be calling during the holidays, and yet some people do. When you’re out for the holidays, create a voicemail greeting that communicates the cheerfulness of the season while still staying professional.

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.
Just like the importance of conducting yourself professionally in person and over email, you want to make sure that if an employer is trying to contact you, that they receive a professional greeting, even if you aren’t able to answer the phone right away.