um... no. That sentence negates two different verbs (to say AND to warn) which is totally legit. A double-negative negates both the noun (usually the object of the sentence) and it's related verb. IE: "Mom, we don't got no chips." There, both "to have" and "chips" are negated). /grammar_lesson.
Its also a literal double negative to double negate the verb: we didn't never do that. But the negative noun + negative verb combination seems to be more commonly heard.