Why does the gentlewoman refuse to report after her?
In Act 5, Scene 1, we see a disturbing behavior of Lady Macbeth. She has completely succumbed to madness. During her sleepwalking, she mentions horrific details regarding King Duncan's murder as a result of her guilty conscience:
Yet who would have thought the old man
to have had so much blood in him.
This has been noticed by her gentlewoman (her personal maid), who invites the doctor. When the doctor asks the gentlewoman to report what she has noticed, she refuses to do that for two reasons.
Firstly, she probably refuses to tell the doctor about Lady Macbeth's strange behavior because she is her gentlewoman, so she should take care of her and be loyal to her.
Secondly, she is definitely afraid that she will be accused of treason if she confesses what she has heard Lady Macbeth say:
That, sir, which I will not report after her...
Neither to you nor any one; having no witness to
confirm my speech.
If she says anything about what she has heard, no one will take her seriously because it will be her word against Lady Macbeth's word, so she will most likely be executed. It is safe to assume that she has already learned who murdered Duncan and other innocent people given that she has heard Lady Macbeth talk about it, so she is afraid of being murdered as well if she does not remain loyal ("having no witness to confirm my speech).