The second best response (if you can't resist the urge) is to say no, but not to say why. Don't help them tune their messaging to get a couple percent more votes -- in the Canadian electoral systems, even just a couple thousand voters makes the difference between winning and losing.
Fun fact, parties running for election both get access to voter phone lists and are exempt from the do not call list.
They do however have to confirm to telemarketer / scam legislation. So you can reply with please remove me from your list and if they contact you again you can get is escalated.