Collection Agency?

I have sent a letter Certified return receipt to NCO financial. The letter stated that I wanted proof of a debt they claim I owe and also stated that from this point on I only want to be contacted via mail. I received the returned receipt back and it was dated 7/24 as delivered. Today I got another phone call from them claiming they have not received the letter. I told them that it was illegal for them to contact me but I want to know who do I complain now to that they are continuing contact?