If you worry, you keep thinking about problems that you have or about unpleasant things that might happen.

If someone or something worries you, they make you anxious because you keep thinking about problems or unpleasant things that might be connected with them.

Worry is the state or feeling of anxiety and unhappiness caused by the problems that you have or by thinking about unpleasant things that might happen.

A worry is a problem that you keep thinking about and that makes you unhappy.

You say not to worry to someone to indicate that you are not upset or angry when something has gone wrong.