Data protection? What are consumer rights regarding companies who withhold their phone number?

I had a call today. The caller withheld their number. They asked for my daughter and I asked who was calliing. They said they couldnt tell me because of Data Protection. I then asked them for their phone number so my daughter could phone them back. They said this couldnt be given because of Data Protection! I then told them I couldnt divulge if my daughter was present or not because that was Data Protection. Do companies have to give their name and/or phone number in such a cirstance? And is it technically correct for me not to divulge the whereabouts of my daughter under the Data Protection Act? Crazy world we live in.....