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Difference between Don’t tell me and Say no more

don’t tell me —(also: never tell me) is used to express incredulity, disappointment, or dismay:

  • “Don’t tell me we’ve got to go through that again,” said one executive member in an audible groan.

say no moreyou need not add anything (said when in the course of a conversation one party communicates his total understanding of smth.):

  • I hadn’t thought much about this post, actually, as a piece of writing. But say no more: I know well enough not to argue with such a lovely woman.

Note: The expression does not correlate in meaning with the phrase it goes without saying—it is too obvious or well known:

  • It goes without saying that a good first impression is critical.

See also: don’t mention it / don’t talk to me about it.