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.

Voicemail is one of the oldest and most basic features found in phone systems, yet it also seems to be the most overlooked feature, too. Businesses usually leave a generic greeting for callers, and think nothing more of it. But voicemail greetings are one of those seemingly trivial things that help project your brand’s image and say a lot about your company. So in order to help you create a voicemail greeting that makes people feel as welcomed, follow these tips below:
“Good afternoon. You have reached the office of [your name]. I will be out of the office beginning on [date] and will be returning on [date]. Please leave a brief message with your contact information, and I’ll be sure to get back to you as soon as I return on [date]. If this is an emergency or you need to speak with someone before I return, please contact [name of colleague/supervisor], [their job title], at [their phone number].”