Thor not charging ahead was about as unusual as it would have been for Loki to be the one charging ahead. Anger/annoyance slid back into worry and fear, and not just for Thor. They were already going to get into trouble, or at least Loki was, and the fact that Thor was hurt....

Would it be better or worse to yell for Heimdall now? Better or worse to try and get back to the palace and figure out some story to explain all Thor’s wounds? Could a giant porcupine or something do that? (What if the darts had been poisoned? Were giant porcupines poisonous? Would anyone really know if they weren’t?)

For now, Loki tried to insinuate himself under Thor’s arm in such a way that he could help his brother better while also soothing Thor’s ego by looking chicken or something. “How? There’s no wind down here, nobody else comes here. They’ll stick.”