There are several places in the text that Gatsby received annoying yet revealing phone calls.
Once in chapter 3, when Nick was about to get to meet and know Gatsby, he was called away to the phone. In Gatsby's absence, rumors being revealing this possible criminal activity, but Nick doesn't know if it is true, and this is how he acts as narrator: he reserves judgment.
In chapter 5, Daisy, Gatsby, and Nick were in Gatsby's room when he received a call that he quickly avoided, obviously because he was entertaining Daisy.
In chapter 6,
Gatsby had been called to the phone, and I'd enjoyed these same people only two weeks before. But what had amused me then turned septic on the air now.
Nick obviously felt irritated that Gatsby's criminal activity took him away again.
In chapter 9, actual evidence of criminal activity comes loud and clear over the wire to Nick's ear in these words from a man named Slagle:
"Young Parke's in trouble," he said rapidly. "They picked him up when he handed the bonds over the counter. They got a circular from New York giving 'em the numbers just five minutes before. What d'you know about that, hey? You never can tell in these hick towns-"
Obviously this is some type of counterfeit trading Gatbsy was involved in. Nick responds with a direct proclamation of Gatsby's death. The man is shocked and hangs up. Direct discussion has never really been a strong suit of Nick's. But, it came out in a moment of frustration and disappointment.