This regrettable line was delivered by Greg Sestero, who played Mark and eventually went on to write The Disaster Artist. Perhaps the weird turn of phrase is a corruption of "If you don't have anything nice to say, don't say anything at all," or "Keep it to yourself." Either way, it's pretty goofy.
According to Sestero's book, he felt humiliated and ashamed to perform the line on set. In fact, his remarks serve as a perfect way to end our journey through the linguistic oddities (or hilarities) of The Room: “I felt paralyzed, as though I were apologizing to some future audience."
Well, this dictionary doesn't have any pockets . . . we are putting our comments out there for everyone to see. Sorry Mark!