The words most dreaded by Telemarketers are "place this number on your do not call list.
At least here in the USA that makes them legally liable regarding any future call (after the grace period for effecting list updates).
He was just going all telemarketer on you (it gave him a sense of power to threaten your employment or at least to hang up on you.)
If you really want to tweak them, when they say "this will cost you your job" just reply with a giggle. :evil grin:
I've been told by friend who worked for some telemarketing company that they are instructed to keep trying until they receive three "soft" no's.