What if someone bumps one of them and they get dislodged? No, they should keep holding hands. Safety in numbers, the buddy system. Jyn's not distressed or panicking, but now that they're out of the building she can feel the tension and anxiety that had settled in her chest. Keeping hold of Cassian assuages one such anxiety.

"You can stay with me tonight. We can air out your room tomorrow and see what's to be done about it." And if the fire has spread down that far, well, they're fucked and will both have to find some place else to sleep but that is a problem for later.