I absolutely love this little scene. We really see that Thor is at the ends of his means. He is about to let go of Loki for good. He’s desillusioned and turns away from Loki.
The moment though he turns Loki knows that he has to do something. He could have just accepted it, knowing that Thor has no other choice than to work together with him in finding Malekith. Yet, he has to make sure that Thor doesn’t lose the little hope he always had in him. If he did Loki would be truly alone. As much as he hates Thor for being the golden son of Asgard, he’s also the last remaining family he has. The last friend.
He gives Thor the one thing that he knows he can believe in, so that he doesn’t have to be truly alone just yet. They may have taken totally different paths, but the one thing that will always unite them and the one thing that will always will be the tie between them is Frigga.