This is my guess. Liquid mercury is heavy and hazardous. If you have residue on sheets, it may wash out, but deposit in washing machine, potentially contaminating other items. Adults can be exposed to minor amounts, and get rid of it with little effect. But if you have children or imune compromised family, they are too important to risk. I would throw the bedsheets away. Mercury is a hazardous material, so best to dispose of properly. It was not unusual 60 years ago for someone to bring some liquid mercury to school. We were amazed by it, not knowing it was hazardous. Mercury used to be used in various industries such as attaching to fine gold to concentrate it. Many miners developed health issues from excessive handling and breathing.
If you wash the sheets, the mercury will either deposit in the washer or be delivered to the waste water. I have heard that mercury vapor is a health hazard, so dryimg the comtaminated sheets needs good ventilation. If the thermometer had about one gram of mercury, that is enough to contaminate about 500 liters of drinking water.
when we dropped mercury at school, it divided into about a thousand small droplets, smaller than a pin head. Did the mercury minute drops go into the mattress pad or mattress? Perhaps consulting a health professional makes sense, but probably most people would wash and dry the sheets, not thinking about it.