I don't think security at most bank will ever call you about a transaction. At best they may text you. But if you get some communication there's a problem, if you talk to someone, you should call the official number rather than someone who calls you.

I've gotten both calls and texts from my bank and credit card companies about fraudulent transactions. Indeed, I want them to do that, so I'm alerted as soon as they spot something fishy.

But if I get such a call or text, I don't answer it. Instead I do what you describe--call the official number that I already know independently. (Or I log in to their website to check for alerts.)