The Liars attempt to stop Cady from jumping from the rocks. They are very protective towards her, and, though they are dead, they do not want Cady to join their ranks. To some extent, Cady uses the Liars as a means to hold on to her past and all the things that she once had but has since lost. No wonder, then, that she expresses the heartfelt wish that she should never be apart from them.
Unbeknownst to her, however, death is the only way she can be with the Liars on a permanent basis, and that's not what the Liars want. As they're so fiercely protective towards Cady, they don't want to see her get hurt. So when she tries to emulate them by jumping from the rocks, they try to dissuade her—telling her it's not a good idea.