do you ever fold a set on the turn?

[mj2]

i just folded a set of 9's on the turn when it was 3 bet into me with a board of 8 9 j q. obvously atleast one person of the four people in the pot has a straight. someone might also have jq which would eliminate most of my outs. it was capped after i folded. the river was a queen and 2 players showed k t and split a $700 pot. was this a big mistake on my part?