It's a Polynesian Scorpion Beetle. They eat entire pepper plants in 24 hours. Break out the shotgun now.

Seriously though, I am not sure what it is. Some kind of beetle obviously. But, I am not familiar with the exact species. Some beetles are bad for pepper plants and some are good such as the Lady Beetle which eats Aphids. Others will eat the leaves. Unless you see an infestation, I wouldn't worry about the little fella.

I am sure someone else will have a more definitive answer for you.

It was only one. I brushed it off the plant and it flew away.

Looks to be a oriental beetle

It looks very similar to the oriental beetle. Should I be worried at all?

You should read this - apparently, the larva can do a lot of damage. https://extension.entm.purdue.edu/CAPS/pestInfo/orientalBtl.htm