Uso de CASE para devolver una cadena si no hay resultados de la instrucción SELECT

Puedes usar EXISTS :

SELECT 
    CASE
    WHEN EXISTS(
        SELECT 1 FROM call_records
        WHERE account = @accountnumber
    ) 
    THEN  'We Have Records of this Customer'
    ELSE  'We Do Not Have Records For This Customer'
    END AS 'result';