The most common and most likely answer to this crossword clue is the 5 plus 4 plus 4 letter word WALLS HAVE EARS
I've seen this crossword clue in The Guardian
W
A
L
L
S
H
A
V
E
E
A
R
S
Buddy explains!
The straight part
We know that "Be careful what you say" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case be careful what you say = walls have ears.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.