Even if Thor was immortal, unkillable and immune to damage, Jane wouldn't have wanted that life. He was smart enough to know that and he wouldn't have wanted her if she did. Thor admired intelligence and drive in his women. Jane was no exception to that rule, but he very much had a type and he stuck to it. There had been a few over the years. Jane, Sif, a few Viking girls whose names he'd long since forgotten. All had one thing in common and Diana had it too. They were fighters, in one form or another.
He knew what Diana was saying, even if she didn't want to say it. Neither was really ready to acknowledge things as they were and he was fine with that. It was for the best. What if this went sideways? Or they ended up butting heads in a much less playful way? That could mean destruction for everyone else at the hotel too. He still held her hand as long as she wanted him to and when she apologized, he shook his head.
"I'm not either. I've been this way a long time now, at least by human standards, and I didn't expect that to change. There are times when it makes my life easier, but I'm glad I met you, Diana."