Navigating the intricacies of statistical leadership can be difficult in practice, particularly as a junior statistician. There is pressure to lead through influencing data driven decision making and through highlighting the importance of statistical thinking in practice. In current funding and publish-or-perish environments, statisticians often feel pressure to produce impactful results. Further, the explosion of data science has led to an overwhelming optimism surrounding information in data. Through my experiences as a collaborative statistician, I will highlight practical challenges of leadership in practice. As an example, I will highlight an important, but often neglected, aspect of statistical leadership: saying no; that is, helping collaborators understand why their data doesn't give them enough information to make a decision or understand why statistics is not useful in their application space. I will elaborate on how to find effective collaborative relationships where statistics can be impactful as an early-career statistician, emphasizing the importance of mentorship in building statistical leaders.