I have some strong feelings about this and they center around my belief that quality prospects don't call back salespeople that leave messages from cold calls. In other words, a prospect that has power (money to spend, authority to purchase, is the decision maker) does not call salespeople back that call them trying to sell stuff.
Now that belief does not apply to warm calling where you are calling prospects back that you have spoken to before or are already engaged with.
This belief does not mean that you should leave voicemail messages or that you should spend time thinking about what to say. More so it is that you should not stress or get frustrated when you don't get call backs because it is normal and probably what should be happening.
I believe so strongly about this that I begin to think something is wrong with prospects that do end up calling me back because something must be wrong with them - either then don't have money, authority to purchase, or know what they are doing.
Here is a webinar where all of this is explained more.