I don't want my colleagues to be suspicious about me looking for other company. What should I do?
If you are scheduling the call, schedule it for a time when you can step out of the office, such as a lunch break or outside of working hours. You may need to change when you normally take you breaks to make the phone calls, but it's not unusual for people to change their break times for appointments, at least in places I've worked.
If you aren't scheduling the call and they call you, you can ignore the phone call or send it straight to voicemail. After they leave a message, you can listen to it and try to call them back on a break or, if you have email communication with the caller, you can respond to them via email. Regardless of what you do, you can make the call or send the email when it's convenient for you to have privacy.
Email is definitely the more discreet method of communication, but it's not unusual to have to schedule phone screens during the day. Using your break times and any kind of flexible working arrangements (such as coming in 30 minutes earlier to leave 30 minutes earlier to make phone calls) appropriately can help.
As Kent Anderson said in a comment, you shouldn't use your work email or phone for communication with prospective companies. Instead, use your personal email address and phone number. Communication on your company's systems may be monitored for usage.