It is the way the husband says these words that is more significant than the words themselves. Throughout the story, the husband is lying in bed, reading. When his wife expresses her desire to retrieve the cat she sees sitting in the rain, he makes a half-hearted offer to get it for her, but he doesn't actually move from his position, showing that he is not really interested in helping her. Instead, she goes downstairs by herself, and the hotel owner and the maid assist her in her quest to get the cat. Unfortunately, by the time she goes outside, the cat is gone, and she returns to the room disappointed.
When the wife opens the door to the room, she finds her husband still in his prone position on the bed, reading. He puts the book down when his wife comes in and asks if she got the cat, and when she says that it was gone, he says, "Wonder where it went to", while momentarily "resting his eyes from reading". The wife sits on the bed and begins to lament about how much she had wanted to "poor kitty", but by this time, her husband is reading again.
The husband's lackadaisical comment, "Wonder where it went to", is not heartfelt at all. It is just an automatic response, giving lip-service to what he should be saying, while resting his tired eyes. The husband is so focused on what he is doing that he doesn't care a whit about the cat or his wife. He words indicate that he is wondering about the cat, but in reality, he is not even doing that, and in the final analysis, he should be wondering about his wife, and about where she has gone in her heart and in her mind, while he has been so utterly absorbed in himself.