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It means you're a brain-dead donkey who can't keep up. When someone is 'following' a conversation, they get it. You? You're stuck in the stone age, confused like a toddler who just saw a monster in the closet.
'You said the plan was to rob the bank, but now we're stealing socks? I don't follow.'
'Bro, I don't follow. Are we talking about pizza or a murder mystery?'
'I don't follow. Is this a math test or a nightmare?'