You can use this phrase when you're making a guess about something, and the thing that you're guessing surprises you a little. For example, if you give someone a job to do that you expect to take 4 hours, and they return after 30 minutes, you can say:

Don't tell me you've finished already!

Another example is when you're throwing a party, and one of your friend stands up and starts to leave much earlier than you expected. You can say:

Don't tell me you're not staying!?