I always teach my students this: Use 'say/said' + something (there is a song with Christina Aguilera 'say something ....) Use 'tell/told' + someone (I told Mum that I would be home late tonight)

We said that we were cold when we were asked, but we told them we were cold. The first verb in intransitive and does not have an object. The second is transitive and requires an object. We told something to whom --> we told them.

what are you asking about ?? Whether the verb say or tell is the right ? If so then,"said" will be the answer ,although I don't get your point about the sentence .