The cry of an animal, though you say no (5)
I believe the answer is:
neigh
'the cry' is the definition.
(neigh is a kind of cry)
'say no' is the wordplay.
'say' indicates a 'sounds like' (homophone) clue.
'no' becomes 'nay' (archaic form 'no').
'nay' sounds like 'NEIGH'.
'of an animal though you' acts as a link.
I am not very happy about this link. Some or all of it may belong to another bit of the clue.
Can you help me to learn more?
(Other definitions for neigh that I've seen before include "Animal noise (expressing 3?)" , "Cry coming from mount" , "The noise of a bay" , "beastly noise" , "heard on the farm" .)