The Great Gatsby, chapter Five, "in alarm"

I'd like to know if "in alarm" in this excerpt from the chapter Five of The Great Gatsby means "on his guard", "on the alert" or rather "anxious":

Gatsby got himself into a shadow and while Daisy and I talked looked conscientiously from one to the other of us with tense unhappy eyes. However, as calmness wasn’t an end in itself I made an excuse at the first possible moment and got to my feet.

“Where are you going?” demanded Gatsby in immediate alarm.

Thank you.