What Utterson concludes about Dr. Jekyll is that he is somehow helping Hyde -- that he is involved with a murderer.

He knows that Hyde has been seen clubbing Sir Danvers Carew to death.  He also knows that it was a stick that belonged to Jekyll that was used for the murder.  When he goes and talks to Poole and Guest in this chapter, he also sees another piece of evidence.  What he sees is that Jekyll and Hyde's writing is very similar.  From that, he concludes that Jekyll is forging letters to help Hyde.

But no sooner was Mr. Utterson alone that night, than he locked the note into his safe, where it reposed from that time forward. "What!" he thought. "Henry Jekyll forge for a murderer!" And his blood ran cold in his veins.