You can use 'that' to introduce a subordinate clause if you wish, but you don't have to. It's fine to omit it. For example, in your sentence: "I came to your concert last night" "Really? I didn't know that you came" or "I didn't know you came". To the native speaker's ear, this sentence sounds more natural without 'that'. NB This does not apply to relative clauses. Let me know if you want to know the rule for relatives.