Luna isn't necessarily here by choice, but she isn't going to tell Sansa that. Talking about her death on the battlefield is only just going to cause more fretting, the truth of her current loyalty maybe as much. Sansa has enough to worry about without adding to it. Luna opts not to tell her unless it becomes necessary; the end result is the same anyway. "It's true, I'm not a threat. And I will be helping the Capitol from now on in whatever ways I can. I hope that will be enough."

For the time being, the Capitol seem to be content with letting her use her expertise where it lies rather than train her for combat. The idea that someday it might not be enough still frightens her, but at the least it makes practical sense to leave her as is. With the restrictions placed on her she's as safe as any Capitolite might be, but that doesn't necessarily remove the stigma of being a former rebel soldier. It's only natural to worry about about ruining her friend by association given the situation, but she can't dictate what Sansa does and so she settles for a request instead. "At least be careful about it, won't you? I'd really rather nothing happened to you because of me."