Weakness is the most perfect thing to be attacked first by the enemy. But what if the person who becomes their enemy has no weakness because that person believes in the strength of the people he cares about.
Caroline believes in Luis and Frey, and she believes that the Alpha man can protect those closest to them and themselves. And that's why Caroline dared to say that she had no weaknesses because she knew the Vampires wouldn't be able to touch Frey not even Luis or anyone she knew.
Although there was some worry that those closest to them would be in danger, Caroline knew that they would be fine. Because they weren't weak people, and that was what made Caroline fearless. Not afraid of the fact that she would be the stupidest person in the world for neglecting his loved ones.