That can be:

Ne dites pas que vous n’étiez pas prévenus (or ‘avertis’, ‘alertés’).

Ne dites pas que vous n’aviez pas été prévenus.

“Don’t say you weren’t warned!” steps into the future, when the predicted outcome is supposed to have happened. It basically states a likeliness of it happening. Here are some common ways of expressing this in French :

• N’allez pas dire après que vous n’étiez pas prévenus !

• _{A bit tougher, or used with kids, whose inexperience and disobedience commonly end up in injuries (and cries):}
  N’allez pas pleurer que vous ne saviez pas !

On the other hand, “je vous aurai prévenues !” is only stating that from this moment, you are not taking responsibility for any possible unpleasant outcome, without clearly stating it will happen. English equivalents could be “I warned you!” or “Consider yourself warned!”.