"Look, I won't tell him, but you should talk to someone about this. Not me. Someone else."

It's Penny's way of being nice. He's promising, in his own way, to keep Conan's secret and not divulge any information to Sherlock that doesn't need divulging. He knows the detective will notice that he's treating Conan differently, but he doesn't need to know why and Penny's ability to read the man's thoughts can help intervene when necessary.

"Get that shit taken care of before Sherlock finds out the hard way." With his annoying habit of noticing everything ever.