I am afraid you are in the minority these days having no caller ID! If it's important, you could always pay the few cents and dial "*69" and it will tell you the last number that called you ...

If you are going to change the message, you might as well say "If you do not leave a number I CANNOT return your call." But even that likely won't work. I think folks' brains are set to turn off when the machine comes on and reactivate when they hear the beep to leave the message.