You don't say is an idiom and can mean several things depending on context.
Could range from sarcasm or irony to mild surprise or amazement. The hearers usually have to supply the interpretation for themselves.
How surprising, is that true? Also, I find that hard to believe. For
example, I've been working on this project for two years.-You don't
say, or The man who runs this soup kitchen is a real saint.-You don't
say! This expression, a shortening of you don't say so, may be used
straightforwardly or ironically. [Late 1800s]
The American Heritage® Dictionary of Idioms by Christine Ammer.
Copyright © 2003, 1997 by The Christine Ammer 1992 Trust. Published by
Houghton Mifflin Harcourt Publishing Company. All rights reserved.