I do that.

I choose not to learn how our voicemail system works, so I can always claim I haven't gotten around to setting it up.

I don't want to encourage colleagues to leave rambling voice messages when they could easily send me an email, which will both reach me sooner, and more clearly communicate their point.

If it's something that must be a phonecall, then the fact that I missed a call from them does the trick of getting me to call back, without anyone needing to interact with a talking computer.

Edit: people I like working with (mainly people whose work betters the world, or results in my earning more money) get a call back without needing to leave a message. Everyone else can send an email.