  This phrase muttered between people is very loaded. Eventhough the speaker is refusing to give information, he (or she) said something. This something is "I don't know what to say. " While the speaker is remaining silent, he has already said too much. He has told the other half of the conversation that he doesn't want to say what he's thinking. He is too scared to reveal his thoughts.
But if he were bold he could do so well. It's all a matter of social developement. Whatever you say it doesn't matter what you're thinking but what the listener is thinking. So the moral of the rant is: think about who is listening before you choose your words. 
