Apparently, Harley went with them. The two hit the ground as she hissed in pain from the harsh landing. Harley knew Thor for a long time. But ever since her attraction to Loki, he always had to try and persuade her that he is no good to her and that she is putting herself at risk. He obviously believed that Harley was just an innocent girl who is just under an unhealthy attration while she is under Loki's control.