I have to say that this isn't a common thing to just joke about. Cheating can be a rather serious thing and it's not something that most people would take lightly. I wouldn't be entirely worried about it yet since it's not really a definite sign for anything, but I'd be a bit wary. If you want to know for sure, ask what they meant and tell them that you felt uncomfortable with that. And if they truly did care about you, they should try to understand why that would make you feel uncomfortable. But also be aware that since they said that they were just joking, don't press the matter on too much because they could get annoyed or angry by it (if they actually were going to cheat) or they might think that you don't trust them (if they were only joking and aren't going to cheat). You'll have to do some investigating on your own if it bothers you that much.
