分かる and 知る have following meanings.
分かる=understand, figure out, comprehend, etc.
知る=know (knowledges obtained by learning or experience)
but when you say negative form of 知る in the sentence(like 知らない、知りません), it sounds like you are not concerned with that thing at all. and it could be felt somewhat rude to the listner.
so, in this sentence, using 分かりません is more polite way of speaking.