(one) (has) never heard (of) such a thing
One finds the thing mentioned absurd, mystifying, amazing, or very hard to believe. The dealership wants to take the car back from us and give us a different one? Why, I never heard such a thing! The committee has reviewed your application and, frankly, we've never heard of such a thing as you are proposing. Am I reading her Christmas list right? What on earth is a "jelly bean jump rope"? I've never heard of such a thing!
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