It actually depends on how they're being blocked and by whom. My landline carrier, for example, gives them a recording, telling them that they've been blocked. If their number (by callerID) is invalid or all 0s, they're told that fake numbers are blocked. If I block a call on my cellphone (not by my cellphone carrier, but on the phone), it goes directly to voicemail, which I can listen to or delete, depending on the calling number I see. Some Android blocking apps let you record a message to be played to the caller before hanging up, without ringing the phone or making any notification to you.