Violent streak. Violent streak. Nevermind that the harbinger of death had shown up, Heimdall's 'violent streak' was obviously of a much bigger concern. Because who hadn't heard of the rampages the watchman used to go on for no reason back in the day? After talking to Thor he went back to Cambridge to ensure Loki's precious safety. He definitely hadn't been cursing a blue streak in his head ever since. Not him.
Heimdall was calm as the thrice cursed body of water that separated him from Scandinavia. So when someone yelled at him from outside his window, which was on the third floor, he definitely did not yell back.