I think some VM systems allow someone to leave you voice message even if you haven't setup the greetings, etc. When you call from your phone, you get the setup instructions, but if you try calling your number from a different phone, you maybe able to leave message for yourself.

You may need to go through the VM setup and listen to the message. Once you listen to the voice message, if your provider automatically tag it as read, the notification should go away. You don't have to delete the voice message. If that didn't work, delete the message and the notification should go away.