Is it wrong to tell some one that they are saying something wrongly? No. It doesn’t sound like natural English and that is a good way to judge things in speaking, does it sound natural. Though sometimes what sounds natural is wrong. In this case to say something wrong is the correct form. Though wrongly is an adverbial from of wrong, so is wrong itself. One could say: he said it wrongly. However, it seems that wrongly is generally used before the verb in such a sentence as this: the story wrongly was reported (/was report wrong) as occurring yesterday. This is one of those times where either would work.