I would add that it's more emphatic than just "I did not know."
He kept telling me that he would one day invite me to his house on the beach. It never happened, but I thought things just weren't working out. Then one day he told me that he owned a clothing factory, and I found out from a reliable source that that was not true. Little did I know he was a compulsive liar.
This underlines the fact that I had absolutely no idea.