Well it could mean one of two things. She really doesn't want あなた to worry about her または she does want あなた to worry about her. Kinda depends on the situation I guess.
What's the context? I know I say that a lot when I'm trying to save face. Maybe she just doesn't wanna seem needy または clingy. It would probably make her happy if あなた checked in on her once in awhile in some way, depending on what the situation is.