"Hey, the more the merrier," is Steve's lame-ass reply, because no, he hasn't really thought farther than the idea that he needs to get Bucky out of whatever's going on here. Whatever this limbo is that he doesn't deserve, but Steve can't entirely hate because it means Bucky - this Bucky - isn't dead.

So he seems dissatisfied with the explanation, unhappy but he doesn't argue - partly because he doesn't have a good argument against it. Doing good things, safe from HYDRA... those are good things. They just still seem like they're born of captivity, of compulsion, and that's the part he doesn't like.

That, and, "I don't want to just leave you here. Can you die again? What if something happens to that lantern?" To his soul?