There are several expressions that could fit into your description, not literally but close to it on meaning. However, none of this is mainly applicated to illegal or sexually explicit behaviour although they could definitively be.
"Sobran las palabras", literally "No words needed".
"A buen entendedor, pocas palabras bastan", this is a proverb, literally is something like "Few words are needed to a good listener".
"Yo no digo nada, que luego todo se sabe", this is also a proverb, it translates to something like "I won't say anything, because otherwise everybody will know it", this is very... familiar, use it with caution, it could sound a bit redneck depending on your listener.
The expression you are asking for is very curious, because the standard way I'll communicate it would be just to wink an eye. :D