Very strange Steve, I've never heard of them using your own caller ID as a number!
Just because they said they were British Gas doesn't make it true, I get calls daily from N-Power and when pressed, that becomes "on behalf of N Power" and then "we just want to steal your business from N Power". (I wouldn't mind, I'm with EoN)
Nothing seems to deter them, from a polite no thank you to just slamming the phone down. We recently learned that 4 minutes is about how long they will stay "on hold" while you leave the phone next to a noisy speaker.