Everything was too much for Loki since being released from prison, coping with his mothers death, the ways people stared at him. Loki felt unsettled and out of place. He didn't even know what was his home anymore. He knew Thor had been trying hard to comfort him and tell him it was alright. But nothing really felt ok to Loki.
He was broken and he almost wished he could be locked up again. "Just please Lock me up," he had told Thor earlier with tears in his eyes. Loki really did feel like a monster as well.

Trying to find his way again was going to be hard, he just took off to earth, he knew he had screwed things up there too. But he couldn't hang around Asgard right now.
Walking slowly Loki wasn't really paying attention. He was lost in his own troubles. He knew that he needed to relax and find a way to work through all his problems.