They tried! It just was not successful unfortunately. In 1837, two years before the outbreak of the First Opium War, the Daoguang Emperor sent an envoy to Great Britain, opening with the phrase that they titled "A Demand for Autonomy in Restriction and Enforcement of the Opium Trade in China". As was common practice in the diplomatic circles of the time, this official dispatch was titled as an acronym from the first 4 title-cased words, and so is generally called the D.A.R.E memorandum.^1 This attempt to "Just Say No", as you put it, was not a well received one though.^2

The dominant clique in Parliament at that time, usually known as the "Stoners" after the leader of the group, Lord Stoned, simply would not take "No" for an answer, and instructed the Foreign Office to send a series of brusque replies attempting to convince China to just try loosening up a bit and giving it a try.^3

To their credit, the Chinese were consistent in their refusal, attempting to "Just say no" in a variety of ways. The 'Stoners' refused to listen however, and were soon joined in their haranguing of China by another group of Peers, the Bullies, so named for their leader, Lord Bullocks. They didn't care one way or the other, to be perfectly honest, but certainly enjoyed picking on other countries, as many of them were military officers as well, and welcomed the excuse. Eventually tired of taking "No" for an answer, war was announced. A number of the Bullies were sent with their regiments where they were they mostly picked on women and children, avoiding the battlefield, and just taking small amounts of money from peasants during late-morning patrols.^4

1: "A Demand for Autonomy in Restriction and Enforcement of the Opium Trade in China". Memorandum, 1 April, 1837. Her Britannic Majesty's Most Exalted Archives of Important Papers, Books, Documents, and Other Shit Too. File No. FG456.01041837.

2: "Minutes, House of Lords Debate On China Being Totally Not Cool". 1 June, 1837. Her Britannic Majesty's Second Archive for Shit Not Quite Important Enough for the First One. File No. PL246.01061837.

3: Ibid. Also of note here, this coming mostly from the House of Lords, this is the origin of the term "Peer Pressure". See Cambridge English Dictionary, 4th ed. Vol. "P". Entry "Peer Pressure"

4: Wei Chao-xing. Lunchless: A Chinese Girl's Memoir of the Opium War. trans. John Doe. [Insert Publisher Here], 2003. 121-125

Edit: If this wasn't giving you flashbacks to middle school lectures, please note this is NOT REAL. It is an April Fools joke.