Moq throws NullReferenceException exception when setup has a callback

I have a unit test. When I define call back function for the setup of my function of the interface and call Verify on the call Moq throws NullReferenceException exception that I am really puzzled by.

Update: I forgot to mention important part. When I run tests one by one all works fine but when I run all the tests this test fails.

Exception:

System.NullReferenceException : Object reference not set to an instance of an object.
   at Moq.MethodCall.Matches(ICallContext call)
   at System.Linq.Enumerable.WhereListIterator`1.MoveNext()
   at System.Linq.Enumerable.Count[TSource](IEnumerable`1 source)
   at Moq.Mock.VerifyCalls(Interceptor targetInterceptor, MethodCall expected, Expression expression, Times times)
   at Moq.Mock.Verify[T](Mock mock, Expression`1 expression, Times times, String failMessage)
   at Moq.Mock`1.Verify(Expression`1 expression, Times times)
   at LimitTest.LimitEditor.LimitEditorTest.EditActionSetExistingLimit(Boolean add) in

Unit test:

var io= new Mock<ILimitServiceIO>(MockBehavior.Strict);
var LimitServiceIO= new MemoryLimitServiceIO();

... different setups...

io.Setup(x => x.PersistActionSet(It.Is<string>(id=>id==companyId), It.IsAny<IList<CsiNotificationActionSet>>()))
                .Callback((string compid, IList<CsiNotificationActionSet> sets) =>LimitServiceIO.PersistActionSet(compid, sets));

... Do some actions...

//This line throws exception
mockIo.Verify(x => x.PersistActionSet(measure.CompanyId,
            It.IsAny<IList<CsiNotificationActionSet>>()), Times.Once());

Assert.AreEqual(2,LimitServiceIO.ActionSets.First(acs => acs.Id == ACTION_SET_A1).Actions.Count,
                "Number of Actions does not match");

The signature of PersistActionSet method is:

void PersistActionSet(string companyId, IList<CsiNotificationActionSet> actionSets)

Any ideas why it happens or pointers are appreciated very much.

Also posting for posterity since I've had this problem a few times as well now, and none of the results from Google solve the issue for me.

If we have a mock object of some class with a method public string Foo(string s) and we want to do something with the parameter passed to this method, all of the results I have found say you need to use a callback like this:

mockObject.Setup(m => m.Foo(It.IsAny<string>()))
    .Callback<string>((s) => { /* Do something with parameter s */ });

but that gives a NullReferenceException. What solves the problem for me is adding a Returns() before the Callback():

mockObject.Setup(m => m.Foo(It.IsAny<string>()))
    .Returns("bar")
    .Callback<string>((s) => { /* Do something with parameter s */ });