say: command not found

Maybe Your $PATH variable doesn't contain the default paths? echo $PATH should give something like:

[root@server ~]# echo $PATH
/usr/local/sbin:/usr/local/bin:/sbin:/bin:/usr/sbin:/usr/bin:/root/bin

If it's empty, You may set the PATH variable with this command

export PATH="/usr/local/sbin:/usr/local/bin:/sbin:/bin:/usr/sbin:/usr/bin:/root/bin"

On Debian possible default full paths are:

/usr/bin/say - from package: gnustep-gui-runtime

You may install the required package with command apt-get install {package}

Error in other languages:
say: bevel nie gevind nie
say: comandă negăsită
say: comando não encontrado
say: commande introuvable
say: command not found
say: käsku ei ole
say: không tìm thấy lệnh
say: komanda nerasta
say: Kommando nicht gefunden.
say: kommandot finns inte
say: komut yok
say: nie znaleziono polecenia
say: níor aimsíodh an t-ordú
say: no se encontró la orden
say: no s'ha trobat l'ordre
say: opdracht niet gevonden
say: parancs nem található
say: perintah tidak ditemukan
say: príkaz nenájdený
say: příkaz nenalezen
say: команда не найдена
say: командата не е открита
say: 命令找不到
say: コマンドが見つかりません