If you have activated Voice Messaging, people can leave you messages according to your privacy settings. If you've configured your privacy settings so that only people who you know can call you, then the same applies to any incoming voice messages. If your settings allow anyone to call you, then anyone can leave you a voice message.
To view or change your privacy settings:
Sign in to Skype and, from the menu bar, click Skype > Privacy....
Under Allow calls from…, select anyone or people in my Contact list only.
Then click Save at the bottom right of the window.