When someone calls you, the call gets to the carrier and is routed to your phone. If you block the number on your phone, the phone ignores the carrier telling it that there is a call. The carrier says, the phone must be out of coverage or for some reason can't answer the call. The voice mail system lives at the carrier. Since the phone didn't answer the call, the carrier sends the call to voicemail.
So, if you don't want the call to end up on voicemail you need to have the carrier block the number.