You would usually say "don't even bother" or don't bother trying".
It means that even if you put forth your best effort you will not receive the desired result.
Example -
You tell a friend you will apply for a job.
He tells you : "Oh, don't even bother."
You ask : "Why not?"
He replies: "I heard the boss is going to hire his cousin - no matter who applies."
You reply : " Ok. So it's not worth my time."
He replies : "Yes."