Do I have to mention that a dataset I use is present in another paper? There are huge data sets available online, for example from KEEL. I read a paper in my field that used about 14 data sets from the KEEL repository. I used two of these datasets taken from the KEEL website. I am working on a related topic, but it is different. Must I mention that these two datasets were studied in another paper?
There is no rule of research ethics that tells you what papers you "must" cite in your own work --- this is a matter of using appropriate discretion to discern what literature is relevant to your paper, and what is not relevant.  Ultimately, you need to ask yourself whether the other paper is relevant to your own study.  Is it useful to your reader to know that these datasets were studied in this other paper?

It is generally desirable to draw a broad line here, and mention other papers that might assist the reader, even marginally, in understanding the data or research topic you are analysing.  However, if the other paper is using the data for a completely different purpose, you might legitimately decide that this is not relevant to your paper, and that it does not assist your reader.  In that case there is no reason to cite the other paper.