It's ironic and sarcastic. When somebody tells you something that is so obvious, you reply sarcastically, "You don't say."

You could use it also when you are surprised about what you are hearing, when you find something hard to believe, incredible, oh no, no, no... that's impossible ! ^^ . It means something like "ooohhh really" "what are you saying? " "what are you talking about? " (=