Seems odd
I presume you have the manual, but if not here it is:
http://www.350z-uk.com/downloads/KE283- ... manual.pdf
On the odd occasion I have found that if I have dialled a number before getting into the car (out of bluetooth range, I thought) and it was not answered but on having started the car the PHONE message stays lit rather than going out after a few seconds, as it should. The only way to clear it was to ring the number again and then end the call knowing I was definitely within bluetooth range. The only reason I am telling you this in your case is to see whether you can clear the PHONE message by using the red button on your phone, as well as/instead of the telephone switch on the steering wheel, to see if that works, just in case the bluetooth is not registering the call has ended for some reason?
Are you sure the telephone button is fully working? Try the re-dial procedure to see if that works (page 3 in the manual).
Otherwise