Thor was nursing no more than a bruised ego. Loki had wanted to play cat and mouse, but Thor did not wish to participate in his games again. He'd been used to retrieve Mjolnir, Thor would not be a pawn in getting it back--because he had to learn a little thing called patience.
At the insult however, his annoyances came back and he saw how much he wanted to ram Loki's head into that steel bar. "Afraid to come closer than that?" he eyed the distance between them and the invisible line Loki seemed to not cross.