To me, this sort of depends on who catches them. After all, Tybalt does actually know that Romeo is at the ball and that he is a Montague.
When Tybalt sees that Romeo is at the ball, he goes to Lord Capulet. He wants to just go and kill Romeo for daring to come to their party. He says
Now, by the stock and honour of my kin,(60)
To strike him dead I hold it not a sin.
But luckily he is not in charge -- he is not the head of the Capulet family. It is Lord Capulet who is head of the family and he does not mind having Romeo there. He tells Tybalt to chill and says
I would not for the wealth of all this town
Here in my house do him disparagement.
Therefore be patient, take no note of him.
So it seems that nothing will happen to Montagues if they are caught. Except if Tybalt had his way they'd be killed.