First, you are threatening a child, which makes them fearful of you.
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Train yourself to explain the reason behind your statement.
“That is not safe” or “Your skin is not for coloring on” is specific and helps them learn why things are off limits, rather than just that they are.
It is wasted words to try to express a rule when a child is upset, as they focus on one thing at a time.
Instead, train yourself to say, “You realized that you jumped off the chair and got hurt when you landed on the ground”, rather than, “See, that is what happens when you jump off the chair”.
You can always rephrase the sentence from a negative to a positive, which will correct the behavior without sounding critical.