It is weird, but it is likely he is being threatened. If they can get Trump arrested for this, they can certainly put Cohen in jeopardy.
[0] https://www.nytimes.com/interactive/2018/08/21/us/mueller-tr...
> 'Leave Trump alone. Forget the story.' And then he leaned around and looked at my daughter and said, 'That's a beautiful little girl. It'd be a shame if something happened to her mom.'
https://www.independent.co.uk/news/world/americas/stormy-dan...
that would also be illegal though, and could not be used in court as evidence? (Not a lawyer, not legal advice) On the other hand, nowadays it's pretty easy to fake voice recordings. I'm not sure if it can be done in a way that is hard to detect by experts.
Some states have stricter "two party consent" laws which require both/all parties to approve, which is why most national companies put automated warnings in their phone systems if they're recording any calls.