Some say “there’s no such thing as bad publicity”; but in phrases like this it’s much less common to insert an “a” after “such” so that the phrase becomes “no such a thing.” This variation followed by a phrase beginning with “as” will probably not be noticed in most contexts, but it tends to sound more obviously nonstandard when the phrase stands by itself as a simple negation: “Eric told me the grocery store was handing out free steaks. No such a thing.” It sounds better to most people to say instead “no such thing.”
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