Why does Jem risk going back to the Radley house? What is a worse consequence to him than being shot?

Jem decides to go back and get his pants late that night. Scout tries to persuade him that it would be better to get whipped by Atticus than to be shot and killed by Mr. Radley, but Jem insists on going. Jem explains that he's never been whipped by Atticus and doesn't want to be.