Regardless of the fact that Sif had known him for millennia, he always seemed to forget she could see right through his miserable attempts at avoiding things he didn't want to talk about. Perhaps he did not forget, but simply hoped the attempt would be enough to play on her sympathies, as a friend.
That actually worked, for the most part. Unless a situation had become dire, Sif followed Thor's lead. Only when he required a swift knock to the head before they all perished did she overstep those bounds.
She sighed and followed him again, heading into yet another confusing conversation.