In "To Skin a Cat", Annie Nocenti's tie-in to the crossover event Death of the Family, Catwoman asks "What do you want from me, Joker?" It's a simple question, but an important one considering his angle in involving Catwoman in his scheme is radically different from anything he's done thus far.
Catwoman is a character of shifting perceptions; is she a villain, is she a hero, or something altogether different? Since the early 2000s, she has been portrayed as holding allegiance only to herself. She won't necessarily stick her neck out to do the right thing, but performing acts of generosity or kindness aren't out of the question either. While it is true she steals from the rich, she only takes what she needs—well let's rephrase that, she takes what she wants without leaving her victims financially destitute. She has no qualms about using deadly force, but at the same time, she is not by any means a sociopathic killer. It is because of this moral ambiguity that the Joker is at a loss on what he wants to do with her.
The theme of Death of the Family is cutting the ties that bind, as the Joker hopes that executing the various members of the Batman Family will drive the Dark Knight to be come a stronger force to be reckoned with. His issue with Catwoman is that she has played both sides of the fence, as Batman's adversary and ally. Instead of making plans to kill her, he instead pleas with her to become the greatest adversary to Batman that she can possibly be. In his twisted fantasy, he wants her to be a clearly defined source of adversity for Batman, otherwise, she's as useless as all the other ball-and-chains tying him down.
Catwoman of course, doesn't want to be a pawn in the Joker's game. She denies that she cares anymore for Batman than she does for the Joker himself. At the same time, she isn't going to mold herself into an archnemesis solely on the Joker's recommendation. She even quips that it's obvious the Joker is madly in love with Batman, an accusation he doesn't refute and a clear reference to Frank Miller's interpretation of the character. Ultimately, Catwoman goes her own way, as she always does, and the Joker chooses not to pursue her... but that doesn't mean he won't cross her path again.