It must have been they?

I think it is said "It must have been THEM". And it is said that way because the speaker thinks that they were the ones who had the phone conversation. It's not "it is them", because speaker is not sure, he/she is just guessing. "It is them" can be used when you're certain in your claim.

It is they is correct as well.
Just like when you are on you phone,
A: Is Alice there?
B: It is she.

Another problem: then can I use "It may/might be they?"

Yes, they is usable here, though them is much more common as the subject complement.

outrageousthen can I use "It may/might be they?"

Yes.

outrageousI would like to ask when do we use It must have been they? can I use it is they instead?

If there is a little uncertainty, use the first.

Then it has nothing to do with the question?
A: Who had the phone conversation?
B: It must have been they./ It must be they./ It might be they./ It may be they.

And what is the difference between it must have been they and it must be they in the above sentences?

- Who had the phone conversation?

- It must have been they. Have been indicates reference to the past. This is the best choice. This implies certainty.
- It must be they. This is the present tense, though still usable. This too implies certainty.
- It might / may be they.

Get it.
Thank you guys.