Can collection agencies collect illegal payday loans?

Hello, I am from North Carolina. I had taken out a payday loan online. I later came to know that it's illegal in our state, and I am not obligated to pay for it. The creditors stopped contacting me after I told them about that. Few days back they left a voicemail stating that they have sold off the account to some collection agency, and I will soon be contacted by the collectors for the due amount. What I want to know is that, can collection agencies try to collect on loans that are illegal in the first place?