'say' needs an object; I forgot to say thanks/bye/it/that. What did you say? I said 'hello' (to him) but if it's information, use 'tell'; I forgot to tell him that/about that/what you said. What did he say? What did you say to him? Tell me! Tell me everything! ha ha

So ' I forgot to tell them' or I forgot to tell them that' would be more common if you forgot to tell people a piece of information. We tend to include the person we are talking to in English. 'I forgot to say' you can say but it sounds less natural in everyday speech. If it is a specific phrase. For instance you forgot to say the word 'allegedly' in a news report then you you would say 'I forgot to say that' . I forgot to say. (correct but see above) - I forgot to say it.('I forgot to say that' sounds more natural. It is likely that this phrase is used when you are giving a speech or instructions or saying lines in a play) - I forgot to say you.(incorrect, I forgot to tell you) - I forgot to say you it.(incorrect, I forgot to tell you that or I forgot to say that to you) (in the second example I would think of someone forgetting their lines in a play or perhaps a policeman forgetting to say a line when they had arrested you) - I forgot to say to you. (correct but, I would expect the sentence to continue e.g. ' I forgot to say to you, he isn't coming' again I would think of specific line or instruction' - I forgot to say to you it.(incorrect I forgot to say that to you )

I forgot to say it to you I forgot to say something to you I forgot to say what the message was to you Compare say and tell I forgot to tell you I forgot to tell you something I forgot to tell you what the message was