It is a trick. They're telling you to press '2' to get off their list - but what it tells them is that there is a human answering the phone at your number.

So sure, they take you off their list -- and they sell your number for more money to other telemarketers as being a "live pick-up" because you responded to their call.

The same deal is in effect when you get unsolicited email spam and they have a "reply to this message to get off our email list."