Translation:He does not want to say because it is very complicated.
He doe not want to talk, or, He does npt want to speak, ...should be accepted and in fact is more reasonable and natural language
You are translating literally word by word: In English, the sentence "He does not want to say, because it is very complicated" is grammatically incorrect, as to say is a transitive verb. Not discussing the literal meaning of nói.
Because you are confounding the two. "He does not want to say" can be used colloquially and has a different meaning than "he does not want to talk".
It is both a transitive and intransitive verb:
Colloquial speech is different from the formal register anyway. You can't ignore that when learning languages. As aforementioned, "nói" simply means "to say" (transitive or intransitive). "Nói chuyện" means "to talk/discuss".
Ok, I get your point. In a context is ok and Duolingo marks it incorrect to let you learn about the difference between the both. But speak should work !!! ;-)
Not explained in any instructions or notes, therefore either this should be explicitly taught beforehand, or this exercise should be stricken from this module. Blundering your way through the course is not learning.