I’ve never understood why people think you shouldn’t say anything.

Because it's none of your business and you don't know enough about these people. If you're close friends sure, you might have more insight into their relationship, but as a complete stranger it's not your place to get involved.
And I say this as someone who got told from an acquaintance that he saw my wife with someone else. I would've never wanted to know and my wife and I talked about the fact that if it ever happened to us we wouldn't tell each other. That's a deal we made and my friends knew about this so if they saw her, they would've known not to tell me and instead maybe talk to her first. But this acquaintance didn't know and thought he was doing the right thing.