Informal:
* Je ne comprends pas ce que tu racontes. (I don't understand what you're saying.)
* Je ne sais pas de quoi tu parles. (I don't know what you're talking about.)
* Je n'y comprends rien. (I don't understand anything.)
Formal:
* Je ne comprends pas ce dont vous parlez. (I don't understand what you're talking about.)
* Je ne sais pas de quoi vous parlez. (I don't know what you're talking about.)
* Je suis désolé, mais je n'ai pas compris. (I'm sorry, but I didn't understand.)
More emphatic:
* Je n'ai absolument aucune idée de ce dont vous parlez. (I have absolutely no idea what you're talking about.)
* Vous me perdez complètement. (You're completely losing me.)
The best option for you will depend on the context and your relationship with the person you're speaking to.