"Gone" implies movement. In other words, it's like saying you've never traveled there. "Been" refers to your time spent in that country, in other words, your time spent being in that country. Of course, the "never" makes that negative, meaning spending time in that country is something you have not ever done.

Hi Sara. You can say both. BUT When we use 'have been', it shows us the person is now back. I have been to Rome twice. A past action that is now ended. When we use 'have gone' it shows us that the person went somewhere but hasn't yet returned. 'I have gone to Italy/to lunch/to the shop, and I should be back in two hours'

Have been is the present perfect tense of to be, and have gone is the present perfect tense of to go. However, in some contexts, the meanings can be different. I have been refers to a completed journey (or journeys) in the past. I have gone can refer to a journey from which the speaker has not yet returned.