What reason did Thor have to chase a retreating enemy? M.O.D.O.K. was still a threat, yes, but the coward was likely long gone. Anyone who could flee in tears after taking a single hit (and not even a heavy one) was not likely to return to that battlefield. Thor focused on Ares instead, as Diana did, seeing the bigger threat clearly for what it was. Ares was mocking Diana while her inner panic became outward in a more pronounced way. Even Thor could see that look of abject fear on her face as Ares finally had the light click on. This wasn't about Thor, but he could tell he was going to be the target.
Ares missed most of his shots, but to Thor, it looked like he was baiting Diana, playing with her. Not one to stand idly by, especially when someone he cared about was in danger, Thor didn't hesitate to join the fight, He came in swinging, every blow dodged as effortlessly as if Ares were stepping out of the way of a gentle breeze. Thor kept fighting though, especially after Ares did turn on Diana.
A single, heavy hit to the center of Diana's chest sent her flying backward, the force equivalent to being hit by a bullet train, but focused into the pommel of Ares' sword. Thor came in swinging again in the moment after, taking the presented opening.