"I can say this:..." Can I replace "this" with "that"?

A grammatical sheet writes, "I know him better than any of you, and I can say ____: nobody’s going to make him work any faster."

There are options:
A. this
B. that
C. which
D. what

The right answer is "A" and the explanation confuses me — “When the author refers to the thing narrated, you have to choose ‘this’ rather than ‘that’. ”

Won’t the original sentence be treated as the object clause if "that" is adopted?

I will appreciate it if you can help me.