YOU WILL SAY THEN: ereis (2SFAI) oun:

Paul anticipated that in spite of this clear truth, some of his Gentile readers would continue to argue against him.

BRANCHES WERE BROKEN OFF SO THAT I MIGHT BE GRAFTED IN: exeklasthesan (3PAPI) kladoi hina ego egkentristho (1SAPS): (11,12,17,23,24)

The Bible Knowledge Commentary explains that

The apostle anticipated the rebuttal a Gentile believer might make: Branches were broken off so that I could be grafted in. Though that was not the real reason the branches were broken off, Paul accepted the statement for the sake of argument. Then he pointed out that the real reason the branches were broken off was Israel’s unbelief and that any Gentile as a grafted-in branch stands (cf. Ro 5:2) by faith. (Walvoord, J. F., Zuck, R. B., & Dallas Theological Seminary. The Bible Knowledge Commentary. Wheaton, IL: Victor Books)

Thomas Constable commenting on Ro 11:19-20 adds that...

That is true. But they were broken (pruned) off because of their unbelief (their lack of real faith), and you are established through faith [because you do believe]. So do not become proud and conceited, but rather stand in awe and be reverently afraid. (Amplified)

Yes, but remember--those branches, the Jews, were broken off because they didn't believe God, and you are there because you do believe. Don't think highly of yourself, but fear what could happen. (NLT)

Granted that Jews were rejected because of their unbelief, but nevertheless there was no personal merit in the Gentiles by which they became recipients of the divine favor. That favor was bestowed on the condition of their faith, and faith excludes boasting (Ro 3:27). Accordingly the real cause of their rejection is sufficient to correct a false inference.

DO NOT BE CONCEITED BUT (have an attitude of reverential awe) FEAR: me hupsela phronei (2SPAM) alla phobou (2SPPM): (18; 12:16; Psalms 138:6; Proverbs 28:26; Isaiah 2:11,17; Habakkuk 2:4; Zephaniah 3:11; Luke 18:14; 2 Corinthians 10:5; 2 Thessalonians 2:4; 2 Timothy 3:3-5; James 4:6; 1 Peter 5:5,6; Revelation 3:17; Revelation 18:7) (Proverbs 28:14; Isaiah 66:2; 1 Corinthians 10:12; Philippians 2:12; Hebrews 4:1; 1 Peter 1:17)

Stop thinking so high

Stop having a superiority complex, but be fearing (Wuest)

The situation does not call for conceit but for a certain wholesome fear. (Phillips)

Conceited is two words in Greek - (5308) (hupselós) which means high or lofty. The second word is (5426) (phroneo) which means to think, to have a mindset, to be minded. The activity represented by phroneo involves the will, affections, and conscience. The combination means to be high-minded, lofty in mind, proud or arrogant. The present imperative with the negative Greek word ("me" = conveys negation) calls for the reader to cease from an attitude that they are presently manifesting (i.e., spiritual arrogance toward the Jews).

Fear (5399) (phobeo from phobos = alarm or fright, fear, terror, reverence, respect, honor) means to cause to run away, to frighten, to terrify, to be alarmed. As used here phobeo conveys more the sense of to revere, to reverence or to be in awe of God. The present imperative calls for this to be one's lifestyle or habitual practice.

If Israel’s special calling and blessing from the Lord could not protect them from being broken off, then certainly the Gentiles’ lack of that calling and blessing cannot protect them from being broken off for their unbelief.

Therefore you would do well, Paul advises his Gentile readers, to have a righteous holy fear and to strongly resist any temptation to arrogance (Ro 11:18) and conceit (Ro 11:20). If God cut off apostate Israel because of her unbelief, how much more surely will He cut off an apostate church because of unbelief.

As alluded to in a previous comment, this is a warning the "Church" has failed to heed as manifest by the evolution of allegorical interpretation of Scripture by the early church fathers such as Origen so that by the time of Augustine this respected and influential teacher taught that Israel was replaced by the Church, in this case the Roman Catholic church. And so it went for the first 1000 years and thus Jews were often despised and hated and persecuted by the very ones who Paul is clearly stating should have known better. Probably few of these were truly saved but only pretending to be ''Christians'', although even such revered saints as Martin Luther in his later years published vitriolic diatribes against the Jews even calling for their tongues to be torn out if they did not convert! (See a sample link from a non-believing Jewish source)

Why did He not spare them? Why were they cut off? Their unbelief. And if God set aside Israel for their unbelief, He could do the same to Gentiles for their pride.

W E Vine comments that...