What is the mess Lydia is in?

I was in Riften when one of the random Thief events happened. All the locals were attacking the thief and Lydia joined in. I guess she must have hit one of the guards at some point because they started attacking her. I couldn't do anything about it, so I wandered off and went to sleep at the inn. When I went back outside the next day she is standing in the square and says, "Well this is a nice mess you've gotten me into" and I have the option to say "Let's go. Let me worry about the guards."

What happened? Is she in trouble with the guards? If I tell her I will deal with the guards will I get attacked?

After I chose the option to go, the guards immediately started attacking me. I sheathed my weapons to surrender and was able to use the Thane option to avoid paying a bounty. It seems that as soon as you choose to leave, the bounty for your follower gets transferred to you and the guards act accordingly.

If you have a save you can go to when you first entered the city. Just make sure she doesn't hit another guard. You know what is going to happen so make her wait at the gate then go kill the thief.

If you don't want to do that then you might have to pay a lot of money for her bounty. It will be big because she did kill all the guards that was attacking her.