The words say, se sound the same but have different meanings and spellings. Why do say, se sound the same even though they are completely different words?
The answer is simple: say, se are homophones of the English language.
To utter aloud; pronounce: The children said, "Good morning.”
To express in words: Say what's on your mind.
To state as one's opinion or judgment; declare: I say let's eat out.
To state as a determination of fact: It's hard to say who is right in this matter.
Definitions from The American Heritage® Dictionary of the English Language, 4th Edition, from Wiktionary, Creative Commons Attribution/Share-Alike License and Wordnik.
Homophones (literally "same sound") are usually defined as words that share the same pronunciation, regardless of how they are spelled.
If they are spelled the same then they are also homographs (and homonyms); if they are spelled differently then they are also heterographs (literally "different writing").