You're supposed to call them back on a number you know is really that person/company. This ensures the person you're talking to is actually from your bank and not just calling from a random number and saying "I'm from your bank," or even spoofing a real number of your bank or a family member, because when you call back it will go to the real person and not the impostor.

This is a very useful precaution for banks, and for or calls that come from a family member's real phone number.

But scammers will just open with "I'm in trouble and my phone died" or "I'm in jail calling from a pay phone" and calling back won't do anything to help with that.

You call them back on the actual number - e.g. the official number of the bank, or the contact number of your friend, or the phone of your kid, etc, that you know or can find independently.

Not any old random number they give you.