If she were hurt in that form, then her body would be quite fragile and much easier to suffer any damage.
It would especially be dangerous if she were hit hard or was crushed enough to cause her a very serious injury or even death by something much bigger than the size of her ferret form.
The second would be the clothing that would be left behind once she transformed into the ferret form.
Unless she took the time to move the clothes to somewhere that they could be hidden well enough, they would be found, and it would end up being seen as something like Derrick had escaped his bindings somehow, and he had achieved that by shedding his clothes.
It was possible that removing the extra layers could end up making it easier to escape, so it would be believed that Derrick was unable to find the time to put his clothes back on during the time of his escape.
