Rhodey is actively working with the US military.  Sam's a vet with no current ties.

As for Thor, he was back on Earth/Midgard after the second Thor movie.  I think he saw some value in them after the first Avengers movie, and let's be honest... even though he sees himself as more mighty than the others, let's not act like he isn't used to being more mighty than the Asgardians he fights alongside.