I find that very strange. A good place to start would be the phone number. Take the phone number and try to reverse it to get the company and address. If you give me your home phone number, I could probably get your address, but maybe not your correct name, but I could probably get the name that appears on your phone bill. If you lived here in the U.S. I could get all of your contact information.
Let's say that you have a company here in the U.S. To be in business, you would need to register with the state to collect sales tax and to also pay your taxes, sales and property. The name of your business would have to be registered with the state department of revenue. I could definitely find you and the name of your business through that department. Does your country have a Department of Internal Revenue?
It's weird that you can't get the name of the company. If the police won't help you, you are pretty much on your own.