He was educated at Arnold House Prep School, St John's Wood, University College School, Christ's College, Cambridge and Ridley Hall.
He was often noted for his height (6 ft 4in). He retired from those roles in 1955 to parish ministry in Hatfield (with the linked office of chaplain to the Marquess of Salisbury). After his consecration as bishop in 1961, Say took a seat in the House of Lords from 1969 to 1988 (speaking there in 1986 on the admission of women into Holy Orders as deacons) and for some years deputised for the Archbishop of Canterbury as chairman of the board of governors of the Church Commissioners.
He also spoke in General Synod in favour of church marriages for divorcés (1983) and of Anglican-Methodist reunion. On retirement as Bishop of Rocherster (he was one of the last bishops not required to retire at 70, whilst the final words at his retirement service being “Alleluia — on we go”) he moved to Wye, where he was active in the parish and was an honorary assistant bishop in the Diocese of Canterbury until shortly before his death. Say supported the city of Rochester, Chatham, Kent County Cricket Club, the University of Kent (serving as Pro Chancellor for several years) and, more recently, Canterbury itself.
He was also for 18 years High Almoner to the Queen. He was honorary chaplain of the Pilgrims Society from 1968 till 2002. On Say's death, the Bishop of Dover, Stephen Venner, said:
I was privileged to benefit from Bishop David's advice and friendship over the years.
Even when I saw him a few days before he died, he typically ministered to me as much as I to him. Say's funeral service was celebrated in the nave of Canterbury Cathedral on 27 September 2006 and a public memorial service was held on 2 February 2007 in Rochester Cathedral (with a sermon by the then Bishop of Rochester, Michael Nazir-Ali). “God is the God of the future as well as of the past.”.
He believed the greatest danger to the Church of England was concentrating “on laundering our surplices” and forgetting its true mission, which was "from Corrymeela to Calcutta, washing the world’s feet”.
“God is the God of the future as well as of the past.”.