Nero wasn't worried at all. His gigai could be killed but that would only do two things, release him from it, and make him mad. It didn't affect him whatsoever. Also Hana obviously did not know much about Urahara... or she was stupid. Urahara was banished from Soul Society after being framed by Aizen for conducting Shinigami/Hollow hybridization research. Even if he had been one of the most respected Captains before, now he was a disgrace and would probably be executed if he tried to return... Tessai too. He wasn't sure what would happen to Yourichi but then again he thought she had just left... she had been a Captain that abandoned her post so she could be executed or imprisoned.

"You are a fool." He growled "Urahara was banished. Any respect he had among Soul Society is gone. As for me telling you what I am... go ahead and kill me. You'll be in for quite a shock when you do."