When someone has a problem, a complaint, or a concern, you can tell them to "say something". This means to talk about their problem to a person who can fix it.
For example, in the subways of New York, there are signs everywhere telling people to report strange packages to the police. They have photos of bags or boxes sitting alone under a seat, and say:
If you see something, say something.
In this situation, "say something" means to tell a police officer or subway employee about your suspicions.