The person you are calling will then automatically call you back after which you can just pick up with your second device. Of course both of this is dependent on you signing into the same Skype account. Thankfully this is a bug that Microsoft has since recognized exists and is working on a fix right now.
The bug was discovered by a Redditor where he mentioned that this is a bug that probably works 1 out of 3 tries. No word on when the update will be issued that will address the bug, but for those who are a little paranoid about being spied on, basically all you’ll need to do is sign out of Skype on your Android device when you’re done to protect yourself.
Alternatively you could just choose not to use Skype until the update has been issued, but if you absolutely need to use the service then we guess the first method might be one way of protecting yourself.