Jesus didn't say it, He left that for the apostle Paul to tell us.
Jesus was the last prophet under the Old Covenant, He taught the Law, as He had to teach the Law.
The New Covenant had to be enacted by the death of Christ, so he couldn't tell us.
Christ chose Paul to do this in Acts 9"15-17,
"But the Lord said unto him, Go thy way: for he is a chosen vessel unto me, to bear my name before the Gentiles, and kings, and the children of Israel:
For I will shew him how great things he must suffer for my name's sake.
And Ananias went his way, and entered into the house; and putting his hands on him said, Brother Saul, the Lord, even Jesus, that appeared unto thee in the way as thou camest, hath sent me, that thou mightest receive thy sight, and be filled with the Holy Ghost."
Of course he is called Saul here, it's before he changed his name to Paul.
Saul is Hebrew, Paul is Greek.