You may know that if you type

sudo [command]

Your password will be asked, but if you type it again in a few seconds, it will not be asked, because Linux “remember” your password for some time, well if you are really concerned about this, you may force Linux to “forget” your password inmediately.

How to do it?

sudo visudo

And add this line:

Defaults	timestamp_timeout = 0

You may change 0 to any number representing the minutes you may want your password to be “remembered”, or let in 0 so you will need to type your password each time you type sudo