I came to this forum especially because of this question. It bugs me and I am unable to find any reasonable explanation.
The dialogue seems to indicate that the voice is responding to what Sherlock says, but through the pager there wouldn't be a way to hear him.
If an audio/data connection was made through the phone, then that connection could be traced to the caller and there would have been no need to use the pager in the first place (assuming that is why the pager was used).
I'm glad to see others noticed this as well, but I can't imagine this would have been overlooked by the writers. I assume there is an acceptable explanation, but because I couldn't find one while watching the episode, it kind of broke the suspension of disbelief for me trying to come up with possible solutions.