Jem wanted Dill to know once and for all that he wasn’t scared of anything: “It’s just that I can’t think of a way to make him come out without him gettin’ us.” Besides, Jem had his little sister to think of.
When he said that, I knew he was afraid.

– Harper Lee

To Kill a Mockingbird, Chapter 1. Dill accuses Jem of being scared. Jem tries to act like the older kid and Scout’s protective brother and show that he is brave when it comes to Boo Radley. Scout’s interpretation from Jem’s words is that he is afraid of Boo.