I'm sure there's different interpretations. Mine would be:
1) It wasn't me that said he stole it (someone else did?)
2) I did not say he stole it. (it's all a lie)
3) I didn't say it aloud (but I think he did)
4) I didn't say it was him (but someone did steal it)
5) he didn't steal it (just borrowed it)
6) It wasn't the money he stole (check the stock)