if the police call you and leave a message saying to call them back, do you have to?

No. Especially, if you are being investigated for a crime.  Usually, the only thing you will accomplish is giving them, (i.e., the police/prosecutor) information that can be used against you in the future.

That said, you should contact a locai attorney and discuss your facts with them.  Most criminal defense attorneys will give you an initial consultation for free.

Hope this helps.