He said to me,"We are playing football."into indirect speech​

He told me that they were playing football.

Explanation:

He said to me, "We are playing football."

Tense : Present Continuous Tense

To be changed into : Past Continuous Tense.

We => They

Also, The use of "that" as a conjunction in place of quotation marks.

Indirect Speech:

He told me that they were playing football.

Hope this helped!