I was in Riften when one of the random Thief events happened. All the locals were attacking the thief and Lydia joined in. I guess she must have hit one of the guards at some point because they started attacking her. I couldn't do anything about it, so I wandered off and went to sleep at the inn. When I went back outside the next day she is standing in the square and says, "Well this is a nice mess you've gotten me into" and I have the option to say "Let's go. Let me worry about the guards."
What happened? Is she in trouble with the guards? If I tell her I will deal with the guards will I get attacked?