Poor service of ********** transaction from my account

A ********** transaction came off my account. No authority was given for the transaction. I called the *****line and was told i need to tell the ********* to return my own money. Where do i track down someone I dont even know. As a banking client i feel very unsafe after being told this. And will no longer be using this bank. For all i know this bank is working with the ********* and covering it up