Petruchio teases Hortensio because his remark could be interpreted to mean that he’s afraid of his widow bride because she isn’t kind — she’s an abusive shrew. The widow, not picking up on the humor, misunderstands Petruchio. In those days, to “fear” someone could also mean to frighten them. Her response means something like “Believe me when I say that Hortensio doesn’t frighten me.”