Caitlyn was worried about being caught too, even if she hadn't been a companion for very long. Now that the Master knew she sided on the Doctor's side, she'd have to be careful if the rest of them got in trouble. She just hoped none of them got into a lot of trouble as well as nothing too bad happening to the Earth.
Rose knew that the Doctor and Jack would be okay if they got captured, but both she and Caitlyn were both human and so knew that the both of them had to be a lot more careful.