WARNING: The following contains spoilers for Batman/Catwoman #5 by Tom King, Clay Mann, & Tomeu Morey, on sale now.
Throughout Tom King's run on both Batman and Batman/Catwoman, the Joker and Catwoman have had an interesting relationship. The pair shared a quiet conversation before Selina's aborted marriage to Batman in Batman #49 by King and Mikel Janin, speaking like old friends instead of criminal rivals. The future in Batman/Catwoman has revealed more about their surprising bond as the two villains who most understood Batman, with Catwoman even becoming something of a confidant to the Clown Prince of Crime -- forced to reveal this connection to a disapproving Batman in order to save lives.
Other criminals noted that the pair were always together during villain team-ups, chattering and joking like old friends. It all built into the events of Batman/Catwoman, when an elderly Selina -- following Bruce's death -- found and executed the Joker while he was in hiding. It turns out, according to Harley Quinn, that this was always something the Joker knew was coming -- and that this made Catwoman the one villain he genuinely feared.
This prompts Harley Quinn to confront Selina on the doorstep of Wayne Manor. Enraged that Catwoman stole the satisfaction of getting to kill the Joker once and for all, a costumed Harley attacks. Selena defends herself, with the pair carrying on a conversation throughout the brawl. During the fight, Harley reveals that Joker always admitted to her in private that he was convinced his eventual death would come at the hands of Catwoman. In her youth, Harley couldn't understand why. She saw Catwoman on a purely surface level, calling her uninteresting and the "kooky lady with the cats."
Harley instead always thought it would be a hero who'd finally kill the Clown Prince of Crime, with the villain finally pushing someone like Batman or Superman into finally committing the deed. But Joker apparently told Harley that by that point, the heroes had seen him do so many terrible things over the years and still hadn't been able to kill him. She revealed that the Joker would burst into tears -- actually crying -- and reveal that Catwoman had always seen far worse from the world than anything he could throw at her. This would leave him quiet and contemplative -- with Harley noting that was the only time she knew the Joker to be quiet.
Eventually, Catwoman reveals that he may have had a point. While Batman (and Harley for that matter) had too much good in them to ever actually kill the Joker once and for all, Selina had far too much bad in her to ever fully stop her from eventually going through with it. But it speaks to a certain respect between the villains, and a recognition of where they came from. Unlike almost all of Batman's rogues, Catwoman is truly from the streets of Gotham, learning how to fight and steal and even kill if it means survival. The fact that the Joker knows she's seen worse and has survived hints at a small level of respect for her. But it's also interesting that this meant she was the one villain who actually scared him.
Catwoman was the one person Joker knew could -- and likely would -- one day decide to end his life once and for all, and be unbothered by the choice. This fear wasn't just valid, it was even realized, with Joker eventually bleeding out because of Catwoman casually slicing his throat during their final confrontation. Catwoman is the one figure who could do such a thing and not be moved or conflicted by her choice -- making it understandable why she of all people would frighten the Joker, someone who thrives on terrorizing others.