Torvald's concerns are likely twofold at this point. First, he is terrified that he will somehow be implicated in illicit activities, and his reputation will be ruined. He believes Krogstad an "unscrupulous man" who now holds power over him, and he is desperate to escape this feeling of entrapment. He is quick to note his wife's "criminal" action but is terrified that "very likely people will think I was behind it all." After all, who would think his poor, incapable wife could have generated such plans by herself? Torvald immediately begins generating plans to cover up the scandal "at any cost" and goes even further to tell Nora that he can no longer trust the children to her.
Which brings up a second likely fear: Torvald is scared that his wife is not the submissive, flighty creature he adores. Thus far, Torvald has treated Nora as more of a pet or child than a wife, and he believes that she will follow his wishes completely. This is the first he has seen Nora make choices independently of him, and the idea is too much to bear. He needs a pretty and vapid woman—not a strong one—at his side.
With the letter that "saves" him, Torvald returns to his gushing adoration of his "frightened little singing-bird," ready to put Nora back under his "wing." Unfortunately for him, Nora is finished with this relationship now that she has seen the truth. She is only useful to Torvald if she allows him to direct all her paths. Her husband has told her not only that he doesn't love her but has gone even further to tell her that she is a terrible mother to their children.
Thus, Nora takes off her pretty dress. She is stripping herself of this outward facade. She no longer wishes to be the pretty doll that her husband desires of her; instead, she longs to be her true and authentic self.