Only, it never does. When you hear someone say this, it is always followed by the thing they claim goes without saying! We use so many expressions that are humorously unnecessary or contradictory. And I'm here to help you laugh about them!
One example is, "I hate to say this, but". They don't. They may even enjoy saying it. What they really mean is, "You're going to hate hearing this."
Another that I find particlarly alarming is "The last thing I want to do is hurt you" (or some other undesireable result). I wish they would also tell me the few things that come just before hurting me on their list of things they want to do, so I can know it's coming and get the heck out of there!
At least half the time people use the word "obvously," it isn't obvious. Obviously.
"If I were you, I would . . ." Only, really, if you were me, you'd end up just doing what I do - because you'd be me then.
"It's a small world!" No, it's not. Unless you're comparing it to Jupiter.
Introductions that begins with "Our speaker needs no introduction" and are then followed by one are a variation on "It goes without saying."
"As you know" is a tricky phrase ostensibly inserted into a lecture to make the speaker appear uncondescending, by assuming the audience is intelligent enough not to need the following details (that, obviously, go without saying). In reality, it always precedes nit-picky, technical information that is foreign to everyone but specialists in an obscure field, as a condescending means of belittling the listeners because, of course, they won't know it.
I question the sincerity of friendship of people who say, "I hope this is your happiest birthday ever!". If I were in my ninties, it might not bother me. Aren't they giving up a bit too soon on my life's potential for happiness? I kind of hope it'll be the best so far, with even better ones to look forward to!
Another friendship squasher is, "You look AmAzing!!!". Why, dear friend, you sound surprised! So, what you're really saying is that you didn't think it possible for me to look this good? Thanks a lot.
And now that I've got you started, I'm sure you can add more in the comments for the edification and embarrassment of us all!