For the same reason that most other super powered beings who could stomp Cap follow him; he is moral to a degree that very few can match. Thor acknowledges his judgement is sometimes flawed. read more
Thor might be immortal and an Asgardian but he is no Steve Rogers. Steve Rogers is born leader and the Avengers are lucky to have Steve Rogers as their leader. Coming back to your question Thor and everyone knows that Steve Rogers is a great leader and he knows how to control the team so they all take his orders . read more
Of course, this is the Earth 616 Steve Rogers, who is a bad example to use in this conversation because he is worthy of lifting the hammer. Clearly there's some difference between either movie Steve and comics Steve, or between movie Mjolnir and comics Mjolnir, which makes movie Steve not completely worthy of lifting Mjolnir. read more