Check out your owners manual. You may have a "bluetooth" radio, meaning you can sync your bluetooth capable phone to your radio, then make/recieve calls through the radio.
On my Ford radio, it is mearly a mute function; kills audio on the radio when I press it, so that I could answer a phone call (?). I use it when I'm in a drive through at the local burger joint; I can then hear what the squak box voice is saying. My display does not show the words "no phone" however. I also have the am/fm/6 disc/MP3 player with audiophile. I thought this was the top of the line radio from Ford; sounds like you have one better if it sync's to a bluetooth capable phone.