I just received this exact call from a NZ number, +64 21 815 3411. It was also a robo call saying my TFN had been suspended due to illegal activity and to avoid an arrest warrant, press 1. I didn't press 1, but I did hang up and call the number back and got a voice message from someone called 'Rob' saying they couldn't pick their phone up because of dury duty and would get back to me if I left a message. I didn't, I've just blocked. But still really stressful.
Thank you for sharing this information with us. You are right, this can be quite stressful and even I have received these calls personally. You have done the right thing by hanging up and not providing any personal information. If you want to follow this up further you can go to report scammers. There is also a number on the website you can call if you wish to report or check your account over the phone.