[It's comforting to Steve because it is something he expects from his best friend. In his heart of hearts, he secretly wanted for Bucky's "death" to have been a bad dream. When laid here, he wanted Buck to bail him out like he always did. Obviously it didn't work out that way in reality. This is a dream so things can work out the way Steve wished they did.]
You're alive. You came for me. [Steve sounds both shocked and relieved at once. He finally gets free and pretty much falls against the other man. He shouldn't be so happy considering the circumstances, but, well wouldn't anyone want to be in his shoes? His best friend is alive. Buck will find a way to save them. It's what he does.]