Bucky's been told a lot about the rest of Steve's team, and while he does not know all the intimate details, Midgard triggers a memory. He steps up into the space the terrified officer occupied and looks up. It is possible to see why Thor would look physically intimidating to people with all of the solid muscle. He doesn't even blink, he's seen worse that Thor before.

"This isn't Midgard or Earth. Most of the Avengers are here."