Does it feel wrong to you that I'm not going to tell my friends s.o that he cheated on her
It depends on the context. Try to put yourself in that person's shoes, and think of what you would want.
I am not a rat.
I can understand that you'd want to keep it a secret. It's better to not get involved in others relationships if there is no immediate danger.
I don't care, I'm not going to tell her anyways.
Staying out of their relationship and keeping his secret is probably the best bet for now. You might ruin your friendship if you told her. She'll find out in due time anyway.