What are the effects of my Agents getting "detected" in Beyond Earth
There are some things you should know when your Agents are detected. In this site, it states that:
... Also, the more factions that dog-pile into a city the more likely a spy will be caught or detected to counter-balance the rapid increase in city intrigue (the Casablanca Effect).
I don't play the game (Sorry!), so I don't quite know what the effect is, but the Casablanca effect can be used to counter-balance the rapid increase in city intrigue.
As said in the comments (no proof has been given, thanks @MattR!), your agent could be captured but escape without injury or capture and be interrogated, executed, tortured, etc. If the other civilization finds out, the tension will increase and victory through war is more likely.
Now in the Civilization Wiki which is probably the proof for @MattR 's comment, it states that the following can happen:
If there is a defending agent in the city and the attacking agent is discovered:
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1/3 of the time, the attacking agent will be identified and killed.
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1/3 of the time, the attacking agent will be identified (but not killed).
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1/3 of the time, the attacking agent will be detected (but not identified).
If there isn't a defending agent, the attacking agent can only be identified.
Extra Info
The risk of anything happening to your agents in terms of being identified, killed, or detected is stated in the wiki as well:
Risk is measured in percent chance for an agent performing an operation to be discovered and is computed as follows:
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The base risk is equal to the base difficulty for the operation.
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Each rank of the attacking agent reduces risk by 7%.
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Each rank of a defending agent (if any) increases risk by 10%.
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If Operations Support is selected as the National Security Project, each agent at HQ reduces risk by 1%.
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Other agents in the city increase risk by ?
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Risk cannot be below 10% nor above 90%.
Other
It seems that the fact your agents were detected really doesn't have a noticeable effect other than higher tensions and enemy agents are alerted. There seem to be no source stating any effects in which your agent has been detected. The fact your agent was detected has no effect on gameplay.
I hope this helps you!