Well he might be frightened because of the words he is using to describe what is happening. He uses the word pitifully thin which might make him frightened because he just woke up from a dream.
The tone present in the first paragraphs of the story is one of matter-of-fact. In this story, we learn that Gregor Samsa woke up one day to find that he had been turned into a giant insect. However, the reader learns this information from the author in a calm, accepting and matter-of-fact way. The author expresses no panic or confusion about the event.
Gatsby is desperately searching for someone who knows Daisy. When he finds out from Jordan Baker that Nick Carraway is Daisy cousin, Gatsby latches on to him in an effort to get Daisy back. Everything he does is for Daisy.