That's highly unlikely, say Watson and Holmes shortly (5,2)
I believe the answer is:
dream on
'that's highly unlikely' is the definition.
(phrase said in response to something unrealistic)
'watson and holmes shortly' is the wordplay.
'watson' becomes 'dr' (Dr Watson from Sherlock Holmes stories).
'and' says to put letters next to each other.
'holmes' becomes 'Eamonn' (TV presenter Eamonn Holmes).
'shortly' means to remove the last letter.
'eamonn' with its last letter taken away is 'eamon'.
'dr'+'eamon'='DREAM ON'
'say' acts as a link.
(Other definitions for dream on that I've seen before include "That's unlikely! (colloquial)" , "Come off it!" .)