No, you should absolutely be as nasty as you can to those people and make it hell for them. I know it's nasty, but this literally raises the cost (as it increases staff turnover and HR costs) and thus REDUCES the reward/incentive of a telemarketing / cold calling approach. By being nice and police to those people, you actually INCREASE the incentive to use a cold calling approach by deliberately lowering the operating costs of the cold calling center.
If you are nice and polite, they may also just put you on a 'call again, more likely to buy something' list. If you are consistently rude, maybe they'll get smart and put your number on a 'waste of time, don't call' list. Or maybe that's optimistic.