'Why did you say that?' Is more direct, simple, more natural for regular speech, etc...at least in the US. 'Why have you said that?' Sounds strange to an American ear, not wrong, but sounds more like something out of novel. The only way I would use that phrase is: 'Now, why have you said that?' It's kind of accusatory, almost, like if I thought someone was lying and, I was questioning their motives for saying such a thing.