Can someone claiming to be from the Criminal Investigation Dept. of the US threaten me with an arrest warrant for debts owed?

Claimed to be and Officer for Criminal Justice Investigation. Said he would issue and arrest warrant if I did not pay off an outstanding loan. Told me to Fax him a hand written note with all my bank info and personal info so he could withdrawal money from my account. Never gave me and email or documents or paper work in the mail referring to the case file. Has not given me a physical address. Had me give permission by the fax in his name and not the company name. Never sent me receipt or documents after the payment. Now he's doing it again