Yes, you have to join the two parts of the sentence with ' que'. This is an important difference between English and French - in English you can miss out the relative ( 'that') but in French you can't.

You can say: "Je sais que c'est énervant" or "Je sais, c'est énervant" but you can't say it without a "," (which is translated by a waiting space when you speak) You can also replace "Je sais" by "Je suis conscient - and then - QUE c'est énervant" or "En effet, c'est énervant" énervant > ennuyant > agaçant > insupportable

«Je sais que c’est énervant» est la forme correcte... il faut utiliser le mot "que."