I have heard this, or some variation of this, in many different places in the United States. I think the most prevalent stories come from the Appalachian Mountain region - the area of the US that’s literally older than the continent the US is part of. I went on a search to try to gather folklore and stories, so here’s what I found!
It seems to be a common superstition not to answer a voice that calls your name, especially a voice that’s not supposed to be there. The belief depends on where you live, and there are many similar superstitions, as well.
This thread on Reddit has a lot of people from different cultures talking about their superstitions and beliefs! (all below quoted from this Reddit thread)
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Have you ever heard of a calling spirit? I’m sure they exist outside of Hawaii, but the gist is, if you’re somewhere like the woods, or you’re alone somewhere, if you hear someone call your name, you do not answer. Bad things happen when you answer.
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Where I’m from, they say the same thing. Never answer any voice that comes out of nowhere calling your name. They say it’s demons trying to make you acknowledge their existence so they can harm you, others say it’s the Devil himself after your soul.
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I went jungle trekking in Malaysia, and before we left for the track, we were told to give each other code names like “Jingga” or “Kuning”. We were told not to talk in the jungle and keep our noise to a minimum so as not to attract “them”. We were also told that if something calls our name instead of the code name, we must not answer at any cost. When asked if “they” were animals, the answer was “Not animals, jungle spirits. Do not talk about them, do not ask about them and be respectful the entire time you are in there. The less you know, the better it is for you”.
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I am from Russia originally, and it’s the same thing there. You should never be loud in a forest or when you are outside at night time… Because you’ll make them angry.
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I’m from Puerto Rico, it’s a kind superstition that’s been around since I can remember. The kind of thing you say you don’t take seriously but deep down you know not to test out.
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Wow i myself really amazed how diverse this phenomena is. I live here → Himalayan Region I am a photographer & a hikker and i often go to places where no one been before.I always listen to my elders what they say & follow them, their experience have saved my life many times. I was very ignorant before until i experienced few things myself, now voice thing happen almost everytime i go hiking but i never answer to them.I have seen many things now like - from footprints in the snow who leads to nowhere, to meeting people that never existed.
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I remember hearing somewhere that if a disembodied voice calls your name do not turn around, otherwise you confirm your identity and they can steal your body. I have the resolve not to acknowledge someone calling me if they arent already in my line of sight or if im not alone.
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From China originally, and pretty much this story is told everywhere in China. Also its not just limited ro forests. Urban legend also says when walking alone at night, if someone calls out your name you do not answer that shit.
I mean, I could quote so many more in this thread 
Personally, I wouldn’t answer or turn around to someone calling my name in a place I knew that shouldn’t happen. I don’t think deities communicate this way, at least not for me, and there are too many stories from the Native Americans and people close to the Appalachian Mountains that have similar themes – no, thank you! 
Oh! I also found this from the digital folklore collection at USC!
In the countryside of China the bathroom is not part of the house. It is small hut or room separate from the house. Sometimes people have to go to the bathroom in the middle of the night through a dark area surrounded by trees. And…Sometimes you will hear noises from wind and trees. My grandparents told me that if you hear a voice calling you, or calling your name, you should ignore it. You are not supposed to look or respond to the voice even though the voice might sound like your parents or somebody you know. If you answer, the ghost that created the voice will take you away and you will disappear.
The informant said this story was told to her by her grandparents every time she visits them in the countryside. When somebody said they need to use the bathroom, her grandparents will say “if you hear a voice, don’t answer.”This is a warning for people of all ages to be careful of strange and familiar voices at night time because these voices can be ghosts and spirits calling your name. To respond to those voices is the same as responding and acknowledging the spirits. Acknowledging the spirit makes you a target.
It all gives me a very… not so good vibe lol