This could be one of a couple of things. Either Steve thinks that Bucky needs to get bullied into coming out and about and this is his way of making it happen, or he's genuinely terrified and this is his subtle way of asking for support. It could be either, it could be both together. Bucky can't risk that it's the second one and not do anything about it, he'll never not be there for Steve if he can help it.

But...

But a whole classroom full of people that he doesn't know, that's not exactly his idea of a good time, and he'll stick out because he's hardly one of the regular students is he? He feels way older than the average college student; which is dumb, because he's still only nineteen, the same as Steve, the same as most kids in college. He's just been through a lot in the last year and a half.

"Isn't class closed to students? Won't I get in trouble just being a random guy off the street in here?"