Loki has no idea what lawyers are, but from the context he assumes they are bodyguards or some sort of private militia, if their duties involve protecting their leader when he is evicted on pain of death from certain functions. He is right to assume their writ would not extend to Asgard.

"You would be well to not draw attention to yourself," he responds with a secretive smile. He would actually enjoy watching some chaos happen, and he has the feeling that if this mortal is told not to do something then he may very well do it immediately in order to be contrary. "You will find that Odin All-Father is not the genial boor that his son is, and will not treat you with kindness if brought to his attention."

So do it. Do it so that Loki may be entertained.