I completely agree with what panini wrote above.
In Spanish, it's odd to say "I know" ((yo) se) without an object, so in response to something you might say "yeah, I know", as (yo) lo se (lit. "I know it"). In Engilsh, "say" requires some object: "say it", "say something", etc. Other verbs like "talk" and "speak" do not require an object. Just lexical variation.
I am not aware of any dialectal variation for this, but it's possible that in some dialects "say" may be intransitive (it sounds sharply ungrammatical to my ears), or perhaps examples you've seen are from non-native speakers. Or very specific contexts like panini mentioned.