Diana could take a lot of damage though. Thor wasn't worried about that part. It was something about her that made Thor so sure nothing could touch her. He didn't really even know what it was. Diana was tough as hell. He knew that. But he believed she was near invincible, untouchable. Or at least, far closer than he was. So when she said she wanted to chase the dragon, he didn't protest. Instead, he spent some time processing what she'd said as they walked.
"You likely won't, if you're correct. Maybe it just wants to be left alone. Or maybe it has a nest somewhere and we won't ever see it again."
It wasn't an entirely stupid idea. Dragons were basically dinosaurs, which meant they were basically birds. Thor could follow that logic. He knew enough to know that if they didn't bother it, it likely wouldn't bother them. He was fine with that and as they kept walking, Thor glanced around, waiting for something else to happen across them. They seemed to be in the clear for now, and eventually came across something that, to Thor, finally looked familiar.
"Ah... Bleecker street. Here we are. I finally recognize something." He mused to Diana, glancing at her over his shoulder as he came to a stop. "If we keep going, three city blocks in this direction, the best sandwiches we will ever eat await."