A good DM will also say that to mess you up when you're about to solve something.
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If you have to ask if they're sure you've either not described a situation clearly enough, or you're giving them meta knowledge of an upcoming complication - and if you need to stop them from triggering a complication you shouldn't have put that complication there in the first place.
It's a popular and well known phrase, but it needs to be acknowledged that it's a crutch to make up for DMing mistakes that are in danger of killing a PC, not a way of protecting them. You shouldn't get to the point where you need to warn a player they're about to get their PC killed - if they are taking a potentially suicidal action they should already be aware and have made their decision based on it.
It’s a popular and well known phrase, but it needs to be acknowledged that it’s a crutch to make up for DMing mistakes that are in danger of killing a PC
You say that like if players always did good and reasonable actions even with every piece of knowledge in their hands