You have 2 choices:
a) be truthful and disclose it and nothing bad happens (CIC has this information anyway) or
b) lie and get caught = rejection of PR application on basis of misrepresentation + 2 yr ban from Canada.
If you think being denied a selection certificate(b/c you did not provide documents is bad), imagine how much worse it will be if you have to declare a rejection for misrepresentation (lying)?
You can only answer 'No' if you have never been refused a study/work permit, study/work visa, visitor visa/TRV, selection certificate (CSQ) or CAQ(certificat d'acceptation au Quebec - for those who want to study in Quebec).
Goodluck!