"This is very worrying" means that something (usually a situation) is a worrying one, and is the correct one to use in this case.
"This is very worried" means that a particular thing is worried. You usually wouldn't use this, because the word "this" would usually refer to an inanimate object, and inanimate objects usually can't have feelings! Unless, of course, you are talking about your electronic pillow which can change mood depending on the weather. Or else it might just refer to non-human beings that don't have names or which aren't personified (such as animals which you don't know or aren't pets of anyone whom you know). Otherwise, one would usually use "he" or "she" to refer to the animal. (Though one would generally use "it" to refer to an unknown animal, not "this.")