"What are you worrying about?"
Translation:Czym się martwisz?
Not everything following "o" is Locative. It's Locative when "o" = "about" = "on what topic" - so actually not here. Those remaining cases that don't take Locative take Accusative.
So "O co się martwisz?" is the literal translation, while "Czym się martwisz?" (which basically means the same) is more like "What worries you?", although grammatically the subject is different ('By what are you worrying?', something like that).