Don't go there
I don't want to discuss that.
Of course a simple phrase like 'don't go there' has appeared in the language for centuries, with the simple meaning 'don't visit that place'. This version is one of the slightly camp, 'sound bite' phrases that emerged in the USA in the 1990s (like 'talk to the hand', 'get over it', etc.) and doesn't refer to geographical location. It implies that there's a, possibly salacious, story to be told about something, but that the speaker is unwilling to pursue it at present (having made a point of drawing the listeners attention to it already of course).
The earliest printed reference I can find is from a Q&A in the 'Ask The Chef' column in The Gettysburg Times, January 1997:
Q: My biscuits seldom turn out thick and light. Most of the time they are like a hockey puck. Hey?
A: It is a good thing I am a food service professional or I may be inclined to make a reference to the National Hockey League (Don't go there).
The context there suggests that the writer (Mr. George T. Keeney) would have expected his readers to be familiar with the term and so we can expect it to have been in circulation for a time before 1997. Given the quick take up of other similar 1990s phrases, that might well be months rather than years.