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.”