Tough one.
Depends how much i liked the job or the colleagues, previous history etc.
If i liked my colleagues but wasn't to fussed about the job, i'd own up and take whatever happened. Or if i liked both, got on well with my boss, i'd own up and appologise, offer to work a few shifts for nothing to help cover the loss etc if i could, but grudgingly understand if it meant i got let go.
If however i worked with a few bellends, folk who i feel would sell me up the river, i'd probably keep quiet, then if aything was brought up suggest i kinda knew what THEY had done, but felt bad about chopping them in/hoped they'd own up to their mistake...stand back and watch the fireworks.
Life's like that nowadays sadly, every man (or woman) for themselves. Those who aren't ruthless are the first ones to get done over themselves by someone who is.
I'd always favour the honesty option though if at all possible.