Hello Sami,
Thank you for posting your question out here.
Are you talking about the OOB entity Lead in CRM and the Phone Calls associated with it which are open and not marked complete.
Then I created a couple of Phone Calls without Mark Completing it. I went to the Advanced find >>> Chose look for Phone calls >>> Selected Regarding(Lead) >>> Status equals Open.
I found my Phone Calls which are open.
Please let me know if this is what you were looking for.
Thank You.
Rob Moses