It depends on what I need.
If I’m trying to find out if a local pizza joint is open on Christmas eve? I don’t leave a message and I’ll go find another place.
If I’m trying to contact a contractor I’ve worked with, or that is recommended? I’ll leave them a message.
At work, if I’m trying to contact one of my suppliers or customers, I’d really rather get a voicemail, if the person I need isn’t available. It’s much easier for me to leave a short message, than try to route that message through a third party.