Pronouns – Differences Between ‘They’, ‘You’, ‘One’, and ‘We’

They say you've lived for 3000 years!

This can mean:
- Generally, people know or say it. It's common knowledge.
- In more specific cases, if you have just come out of a meeting, or you are with a group of friends, "they" could refer to only this group. "They told me."

One says you are immortal.

A basic answer is this usage of "one" appears incorrect. "One" can be a general recommendation for action, such as "one should eat an apple every day". From dictionary.com:

Usage note: One as an indefinite pronoun meaning “any person indefinitely, anyone” is more formal than you, which is also used as an indefinite pronoun with the same sense: One (or you ) should avoid misconceptions. One (or you ) can correct this fault in three ways.

Going into more detail - "one" means "anyone" or "a person", which is a particular person that is then subsequently generalized. Thus, a two step process. In contrast, "everyone" goes directly to mean "all people". So, looking at an example:
1. "One should get enough sleep."
2. "Everyone should get enough sleep."
These are both correct, but they are not identical sentences. The first means "A person should get enough sleep", an individual, and afterwards it's implied this should be generalized to more or all people. The second sentence goes immediately and directly to "all people". The final result is approximately the same, true. But the route to arrive at the destination is different.

Going back to the sentence in question, if it were "Everyone says you are immortal", that would be fine. But you are first expressing it as "A person says you are immortal", which then gets generalized. And this doesn't sound right.

It is still possible to use "one says", or "you say" in a general way. Here are examples of that:

"Be polite. You say 'please' when asking...." or
"One says 'please'."

In these cases, you could also substitute "a person".

"a person should say..." or "a person says..."

and it still sounds alright.

You say you are immortal.

That would literally mean "you", when addressing another person. It does not mean "in general". Just the standard second person singular.

In other contexts, "you" can sometimes mean "one":

one; anyone; people in general:
a tiny animal you can't even see.