TO KNOW OR NOT TO KNOW

Ever been in a conversation and the person says something, and you have no idea what there talking about but you pretend that you do? Its a bit unnerving the amount of times i have had to do that. I am that ignorant? But i have mastered the art of of pretending. its a bit like comprehension like you did in prep school. you infer based on the context. but i was wondering as good as that ability is, wouldnt it be more beneficial to you to admit you dont know and have person explain it to you. I know that there are certain circumstances where it is necessary not to advertise your ignorance, but there are times when you just need to say i dont know.