You could argue he just means he found her, or she’s in his grasp. But yeah, it might make people think that he intends to kill her when he says that.
I actually used that line in a test I did of their force back duel. I had taken out Kylo’s line, “You know why the Emperor always wanted you dead. I’ll come tell you” for some Rey Nobody tests. So they fight, he sees Vader’s helmet land at his feet, he realizes where she is, they clash a little bit more, and when their faces are close, he says, “I have you now”, then disappears.