The ATO are continuing to work on shutting down a large number of scam operations pretending to be the Tax Office. Be it emails, phone calls, faxes or SMS that are stealing your bank details.
The ATO website gives numerous examples of recent cases here.
If in doubt then:
1. Find out who they think they are ringing.
2. Obtain the ATO reference number for the call or the incident (Chances are they will have hung up by now)
3. Ring the ATO on 13 28 61 from 8.00am–6.00pm (AEST), Monday to Friday.
4. Quote the reference number
Threats from the operator etc about delaying will cause you to be shut down or penalties, are not ATO policy or behaviour and should highlight that you are dealing with a scam.
If in doubt do not provide them with any information. Ring the ATO back.