Here is Japanese approved tips :) A part of Japanese culture is "恥の文化", so we don't hate to be told like "you shouldn't do this" in the direct way. It could be very embarrassing for some people. So Here is my suggestions. You should say this in indirect way not to hurt their feelings. ex) "私は大丈夫ですが、他の外国人には言わない/しない方が良いですよ。" So you can express like she/he did not hurt your feelings, but you try to be nice to him/her. In this sentence, it doesn't matter if she/he actually hurt your feelings or not. The point is that you don't embarrass him/her. I know it's extremely unfair and it's SUPER HYPER ULTRA 面倒くさい, but I think this is the best way. GOOD LUCK :)

I am really sorry to hear that =( It can be really challenging to live in Japan sometimes! There are many different ways to say it, but it really depends on the situation of course. You often do not say thing straight out in Japan. Maybe you can ask them why they are telling you that or that you feel sad when they say that? There is also a possibility that they are saying something that is ok in Japan but not from where you come from? That actually happens a lot sadly =( But I think its always good to tell people that you can perceive things differently since you come from a different culture. ^_^ そう言われると、ちょっと悲しくなりますね。 そう言われると、ちょっと違和感ですね。 So many ways to say it, but you can always ask them why they say I specific thing, like どうしてそう思うんですか。 ^_^ Then you come across as calm and they will probably be a bit nervous since they can't really explain themselves? You can also ask them if its a common thing to say in Japan maybe? I hope this could help a little and good luck ^_^!