Mrs. Hale and Mrs. Peters are aware that the dead bird they have found could easily be used as incriminating evidence against Mrs. Wright in the murder of her husband. But out of sympathy for Mrs. Wright, they hide the dead bird and the "fancy box" in which it lies.
The little bird meant everything to Mrs. Wright, as we can see by the pretty box in which she had placed it and intended to bury it. The canary was certainly more to her than a mere trifle. However, if the authorities get hold of it, she could be in very serious trouble indeed. Hence the need for it to remain hidden.
From a legal perspective, Mrs. Hale and Mrs. Peters should have shown the evidence of Minnie Wright's crime to the county attorney George Henderson, who's investigating the killing of Mr. Wright. The women know that Minnie is guilty of the crime and that the dead bird would provide evidence of a powerful motive.
But Mrs. Hale and Mrs. Peters choose not to disclose this information to the men because, as we've already seen, they sympathize with Minnie for the years of abuse she's suffered at the hands of her husband. On top of such abuse, Minnie has no children, and Mrs. Peters reflects on her own past and the pain she endured in such silence:
I know what stillness is. When we homesteaded in Dakota, and my first baby died—after he was two years old, and me with no other then.
In addition to the sympathy she feels for Minnie, Mrs. Hale feels guilty for not visiting her throughout the years, as they have known each other since they were young girls.
Oh, I wish I'd come over here once in a while! That was a crime! That was a crime! Who's going to punish that?
Both Mrs. Hale and Mrs. Peters clearly think that Minnie Wright has suffered enough, and so they hide the body of the dead bird, the evidence of her crime, from Mr. Henderson. At the end of the play, Mrs. Hale hides the box inside her coat pocket.