The Conversation: Suicide prevention: Protective factors can build hope and mitigate risks
Follow is normally transitive. "I can't follow what you're saying" would be most natural. "I don't follow you" is possible but typically means "I don't understand your reasoning". "I'm not following you" suggests it's at the present moment (e.g. when interrupting) rather than after listening to something. It's rather idiomatic, and probably better to be more explicit e.g. "Could you speak more ...