The answer is yes, they should worry. The Rockets are playing out of their minds right now and have knotted the series up at 2 games a piece. I think that Warriors will ultimately win the series, but the next 2-3 games should be epic.
I think I speak for most of the population that we would love to see Golden State falter in the playoffs, and the Rockets have a shot to upset the champs. The Warriors have a team that features Steph Curry, Klay Thomson, Kevin Durant, Draymond Green, DeMarcus Cousin and have Andre Iguodala and Andrew Bogut coming off the bench. The Warriors are loaded and they have been loaded for years. The Rockets have players a little less star power on the roster, but the starting five of Chris Paul, Eric Gordon, James Harden, PJ Tucker, and Clint Capela are doing their job of hanging with the Warriors.
I think that this series will go the distance and the Warriors will prevail on their home court in game 7. I expect Durant to go off in game 5. 35+ Points and 12 Rebounds. Harden will have an off game and bounce back for game 6.