In the context you mention, it means "I do not believe you". If somebody asks you "Did you take the last cookie", and you said "honestly, I didn't take it". And they say "if you say so". That suggests that they think you took the cookie, but they can't prove it, so they won't pursue the discussion. If you have evidence that you didn't take the cookie, then it might be a good idea to show the evidence.

It's like "I don't really believe you, but I won't argue with you about whether or not you're being truthful." So somebody says "I saw 10 celebrities at the grocery store!" And you would reply "If you say so..."

Here, "if you say so"="I don't believe you, but I don't have enough evidence to prove you wrong, so I'll act as if you're telling the truth."