Rashi: Because it was close to Sedom.

Rashbam and Ramban: Because the angel only left it intact due to the fact that Lot did have time to get to the mountains; now that he was able to travel to the mountains, to fulfill the angel's initial instructions, he was afraid that Tzo'ar would be destroyed, as was originally decreed.

Seforno: He was afraid that the 'plague' would spread to the entire area of the plains, as the angel had initially intimated.

Gur Aryeh #1: The angel promised not to overturn the city (19:21), but it well might suffer the effects of the sulfur and fire that had rained down upon nearby Sedom.

Gur Aryeh #2: Lot feared that Tzo'ar was spared only because it was too recently settled to deserve destruction, but they might sin more and tip the scales at any moment.