Because Red might not know himself? What if the guy that Liz killed and that was supposed to be her biological father actually wasn't? What if that was what Red found in the file about Katarina?
Maybe that was what made him believe that it's getting worse... It's really just a thought though.
I'm really wondering as well. It might be possible that she still is alive but I doubt that she is the one after Red (and maybe Liz)... I think it'll be somebody else.