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A fancy way to say you don't want to explain how you got something. It's like lying but with more confidence and less guilt.
'I know a guy who sells stolen shoes.' 'Who?' 'Don't ask.''
'I got this watch from a guy I know.' 'That guy must be a thief.' 'He is.''
'I know a guy who can get you out of jail.' 'You’re in jail?' 'No. But he is.'