If you are out of your "home area" then *86 will not work for voicemail; dial your full 10 digit phone number from your handset to be connected to your voicemail.
I'm not sure what encompasses the "home area", but if you are outside a radius of 50 miles, use the full 10 digit number just to be sure. And if you are in an "extended network" area, then you need to use your phone number, not *86.