The first time she called she said she was from Credit Agricole so she already knew that I banked with them
As said, it's a big bank, so it could easily be a lucky guess.
and that I used internet banking.
Likewise, easy guess.
If you say no to either they say "sorry" and move on.
Always be suspicious of them calling you as a personal favor. Assume that one to one contact with a customer is unlikely unless you're a really big customer. (If the latter describes you, please provide me with a plane ticket and I will drop by to clean (out) your financial accounts.)
More likely a simple warning or link to a warning on the website gets it out to everyone. That and/or a generic e-mail is more likely.
Beware of phishing websites. They often have all the correct links, but the "head" link has a url is so long you have to scroll through a bunch of clutter making it hard to spot the re-direct to the bogus site.