Almost nobody likes Aya. She's self-serving, narcissistic, arrogant, and obnoxious. The closest things she has to friends are Hatate, a rival and frenemy at best, and now Miyoi, who is protective of and genuinely appreciates all her regulars, not just Aya. So while Aya asked her to cooperate on an undercover investigation, and was even willing to share her suspicions about the tengu with her... when the boot came pressing down on her neck, she decided to protect Miyoi by hiding the truth from her, along with everybody else.
So, who would Aya be able to confide in about what happened? Hatate would be able to understand better than anyone - but Hatate might actually blow the whistle. She's willingly isolated herself from tengu society, and clearly doesn't give a hoot about what that does to her personal reputation - maybe she would prioritize her integrity as a journalist, and risk it all for the sake of the truth. That'd hand her the moral victory, and Aya couldn't possibly stand that. Her pride is all she's got, and it's wounded enough as it is.
I wasn't expecting to genuinely feel bad for Aya, but here I am. For all the Blue Aya jokes - just like Green Reimu Megumu is an effective foil and antagonist to her counterpart. Aya's character might go into an entirely different direction now, since she no longer has to fulfill the role of the Great Tengu's trusted agent outside of Youkai Mountain. Megumu rolling up her sleeves and making her own danmaku debut, and the way she seemed to have been aware of Aya's potential defiance all along in this chapter, suggests Aya's no longer quite as trusted as she used to be...