There's no difference, but "say again" isn't correct English. It might sound okay if you say "say again?" with a rising tone, as a question, because this sounds a bit like the idiomatic (but slightly dated) phrase "Come again?" (which means, "I'm sorry, I didn't hear you, could you repeat that?").
I don't know that I've ever heard anyone use "say again?" in place of "come again?", but some people might use the phrase this way. If I did hear someone say it, I wouldn't think it sounded too strange, as long as it was spoken as a question.