Is your modem outdated? Have you had connectivity problems? What is the make/model of your modem? Did you request a new Internet plan? Unless you currently have a DOCSIS 1.0, I don't know why they'd call you. It's odd they'd offer to mail it to you as opposed to scheduling an appointment to install it. Cox loves service calls ($$).
If you're suspicious, change your Cox account passwords and any other online credentials you may have provided. Then call Cox to confirm if they called. If not, they could either flag your account as vulnerable or to monitor it for suspicious activity.
What information did you give them...credit card, bank routing number, SSN, etc?
