"No, it’s all right.”

[Shinya Maki]

When the person you want is not there and you are asked on the phone, “Would you like to leave a message?,” is “No, it’s all right.” a correct answer? If it is not, could you give me one or two correct ones to mean “No”?

[Pete]

When the person you want is not there and you are asked on the phone, “Would you like to leave a message?,” is “No, it’s all right.” a correct answer? If it is not, could you give me one or two correct ones to mean “No”?
I think this answer is natural. Other possibilities:
No, that's OK.
No thank you; I'll try again later.
I'll try later. Do you know when he/she might be in?