"Oh no, no!" Fili protested quickly, shaking his head. "Best not to worry him." in truth they didn't want to tell him because they were afraid of how he might react if he found out they had lost two of the ponies.
"Actually, as our official burglar we thought you might like to take a look into it." Kili interjected, smiling faintly at Bilbo. He hoped the hobbit would agree, then maybe they could find them and get them back before Thorin even noticed they were gone.