Red's suspicious movements were enough to make Cat, well, suspicious. Just from the blanket alone and the abundant amount of metal shard Red was carrying in his back pockets, Cat knew that something was up.
A thought occurred in the forefront of Cat's mind, warning her of something that might imperil the group as a whole. And that conclusion concerns Red, who was acting rather suspicious at the moment. Cat was tempted to follow where Red was going but she didn't want Red to think that she was suspicious of him. If that happens, Red wouldn't forgive herself since she was one of the few who admires Red. The last thing that Cat wants is for Red to not trust her.