Once Loki had heard from Amora, he cursed and dropped nearly everything he was doing. If this was what he thought it was, there was no way Balder would be able to lead Asgard against that sort of threat alone. No, as much as he really didn’t want to, he knew he had to get Thor into Asgard. Without Odin, Thor was likely Asgard’s best shot.
By Amora’s comment about blue skin, it luckily wasn’t Thanos himself, but Loki knew the connections Thanos had and didn’t want to take any chances. When it came to the vault, Thanos was likely after the Infinity Gauntlet, and that in itself could be a disaster beyond anything anyone could fix.
Getting to Thor’s home, he skipped the knocking portion and pushed the door open. “Thor! You better be home, or so help me… I don’t have time to search you out… Thor! Asgard is in trouble!”