Well I think it depends on a few factors.
Some people just don’t check voicemails so in that case it’s a waste of time.
For those who do it will come down to strength of your hook and the reason for your call. It must be compelling enough for them to respond otherwise there’s no point.
“Hi John, I’m calling from ABC Ltd and really wanted to speak to you about XYZ, please call me back or email on…”
This is a waste of time where you sound like a generic salesperson who just wants to product pitch.
However, if you add more specifics and make it about them, this should garner more attention:
“Hi John, I just tried your line and was keen to discuss ‘challenge X’ which I know has become quite an issue in ‘your field’. I have helped similar companies with this challenge and was pointed in your direction by ‘customer A’ as someone I could potentially add a lot of value to. Please let me know if this is of interest so I can understand if I may be of help. If not, please let me know and I won’t follow up any further and waste time.”
This demonstrates you have done your homework, have made it about their situation with a genuine offer of how you could potentially help them. You have also given them an 'out' increasing the chances they will come back to you either way.
A voicemail could also be used to draw attention to an email you have sent – increasing the likelihood they will look out for and see it.
“Hi John, this is Scott from ABC, there’s no need to call me back. I’m just about to hit send on an email to you with the subject line ‘XYZ’. Whether or not this is of interest, please let me know. I certainly wouldn’t want to clog your inbox up with any more follow ups. Thank you.”
Note, this is both assumptive and reasonable and should elicit a response even if it's to tell you they're not interested!
So I do think voicemails serve a purpose but only if they are used in the right way.