Clydesdale Bank, now Virgin Money, do this all the time, Utter, utter, wankers training their customers to give away their security to cold callers.
And yes they call from a withheld number and proceed to ask for all your security details. When you suggest that you will call back to the number on their website and can they have a reference they won't give a reference as you have not given the cold caller your details, If you can be bothered to call the numbers on their website some very exasperated call center minions apologise and commiserate.