Are you using a jailbroken iPhone?
If you said Yes, you could be in threat.
If you said No, the word out there is, you should not worry about this threat.

A worm by the name iPhone/Privacy.A (identified so by Intego) has been infecting jailbrocken iPhones. This worm runs on Mac, Windows and Linux.

Intego continue to say that, this worm copies data such as e-mails, contacts, SMSs, calendars, photos, music files, videos, as well as any data recorded by any iPhone application. Unlike the ikee worm, this new attack is silent. It gives no indication that it has invaded an iPhone. The tool scans the network such as your home network, the Wifi at the library, or your school, and then attacks any jailbrocken iPhones it finds.

Those using vulnerable iPhones should protect themselves by changing the root and mobile passwords. Instructions on how to do it can be found on cydia.saurik.com or F-Secure website

Good luck!