In this instance, you shouldn't say anything to the boss. It's your co-worker's responsibility to give notice and let everyone know she is leaving. If you say something, there's a very real possibility she will be asked to leave on the spot, and this could cause a lot of trouble for you. Unfortunately, you and the others will have to pick up her slack, but that's the way it goes sometimes. In telling you, she was probably saying, "So what if someone complains about me. I'm going to be gone soon anyway." If she didn't ask you to tell, you shouldn't.
Lioness, Queen of the Jungle
