The obvious answer would be that they needed to get out of the country to one of the few parts of the world not under HYDRA control, but that brought with it a host of its own problems. They'd also be hunting him, but for war crimes, so they wouldn't be much better off than staying here.

"We going to find a car."

Steal a car, was what he meant.

All those decades of training to be a ghost, now he would find out if they were good enough to even hide from the ones who ruled the world. If he were on his own then he'd be confident, but with Steve "I am loud and stupid and don't follow orders" Rogers, then it might be more difficult.

"You learn to follow orders, or you'll be left behind."