My bank(s) have never called me and if they did I wouldn’t pick up - it’s definitely not a standard in the EU.

My bank (big green French one) pretty much always calls me whenever I do some unusual money transfer, even between my company and my personal accounts (they're both with the same bank), even though the transfers are authenticated either via the app or by an SMS code. However, the people calling me don't ask any details, just "is this vladvasiliu? Is it actually you who initiated this transfer, for x amount on y date?".