say (something) to (oneself)
To have a specific thought. I know what you're saying to yourself: "This can't be real." Well, I'm sorry to say that it is. I've been saying to myself that we need to invest in a better washing machine.
say something to someone
to tell something to someone. He didn't say anything to me. Did someone say something to you?
say something to something
to say yes or no to a proposal, request, etc. I hope you will say yes to my proposal. Nothing was said to your request at the last meeting.