What she tells them is that as she was rolling into the Radleys' yard, she heard the sound of someone laughing. You can find the answer to that question at the very end of Chapter 4.
What has happened in this chapter is that the three of them have been playing with this tire. Scout went first, and Jem gave her a really hard push. She goes so hard that she ends up crashing into the Radleys' front porch.
After that, she doesn't want to play anymore. Jem thinks she's just being a sissy. But, even though she won't tell them, she's really kind of freaked out because she heard the laughing.
When Jem, Scout and Dill are playing their game about the Radleys, Scout is not really into it. She tells Jem that Atticus doesn't want them to play the game anymore, but Jem and Dill still do so. Scout is reminded of what she heard when she rode the tire into the Radley front yard. She is still unnerved by all of this and just wants to stop playing, so when Atticus comes home she is glad that they have to stop so they won't be caught.
Atticus's arrival was the second reason I wanted to quit the game. The first reason happened the day I rolled into the Radley front yard. Through all the head-shaking, quelling of nausea and Jem-yelling, I had heard another sound, so low I could not have heard it from the sidewalk. Someone inside the house was laughing.
What Scout doesn't realize is that Boo was watching the children play. Scout is certain of what she heard, but she is still confused and rattled by what she had heard and what it means. Little does Scout realize, she will be ever so grateful that Boo has been watching them, and she will have him to thank for their lives.
In chapter 4, Scout receives her first piece of gum in the knot-hole of the Radley's oak tree as well as two indian-head pennies. Little does Scout know how close Boo Radley really is to these kids because he watches them all the time. He can't help but notice the kids as their full attention in the summer is directed right at him as they play out his life in the front yard and try to contact him by sneaking into his yard. During the second summer with Dill, Jem rolls Scout so hard in a tire that she winds up dizzy and trying to collect herself right in front of the Radley home. "I raised my head and stared at the Radley Place steps front of me. I froze" (38).
Scout freezes because she hears a low-sound from inside the house that couldn't be heard from where Jem and Dill were standing outside of the gate on the public sidewalk (41). She doesn't tell the boys what she heard, probably out of fear, but she also doesn't bring the tire back for the same reason. Since she knows she's been seen, Scout is scared and wants to get out of the yard as soon as possible. Because Scout hears the laugh from within the Radley house that day, she does not want to continue playing the Radley family saga anymore. She knows someone is watching them and she doesn't want Boo Radley to come after her in the middle of the night like Miss Stephanie Crawford claims he does.