If you have activated voicemail, people can leave you messages according to your privacy settings. If you've configured your privacy settings so that only people who you know can call you, then the same applies to any incoming voice messages. If your settings allow anyone to call you, then anyone can leave you a voicemail.

To view or change your privacy settings, sign in to Skype and from the menu bar click Skype > Privacy. Under Allow calls from… you can change who can contact you.