There’s a couple of ways to insinuate that you’re not a native speaker, but you can essentially get by with any of these. I guess it will just depend on which one pops into your brain first.
French: Je ne comprends pas.
Spanish: No entiendo.
Arabic: لا أفهم
Mandarin: 我听不懂. [Pinyin: Wǒ tīng bù dǒng.]*
English: I don”t understand.