Formal:
* Je n'ai aucune idée de ce qu'il a dit. (I have no idea what he said.)
* Je n'ai pas compris ce qu'il a dit. (I didn't understand what he said.)
Informal:
* Je n'ai pas la moindre idée de ce qu'il a dit. (I have not the slightest idea of what he said.)
* J'ai pas capté ce qu'il a dit. (I didn't catch what he said.)
* J'en sais rien ce qu'il a dit. (I don't know what he said.)
Note: "Il" (he) in these examples can be replaced with the appropriate pronoun for the person you are referring to (e.g., elle - she, ils - they).
You can also use the verb "ignorer" (to ignore), which implies that you didn't pay attention, like in:
* J'ignore ce qu'il a dit. (I ignore what he said.)
The best choice depends on the context and the level of formality you want to achieve.