"I understand. But I care about you being safe." If they can't keep going down this road, they have some other alternatives they could try to pursue, but if Arthur gets grievously hurt, this whole thing is over. Not to mention, the fact that knowing less is actually more dangerous is still counterintuitive to Bucky. He comes from a time and place where the only people who survive are the people who cower, the people who run away, the people who don't investigate and don't try to find out more about the things they don't know about, the people who lie and cheat and steal and betray and genuinely don't know anything or pretend they don't know anything. He hasn't yet learnt enough about the 21st century to know how much more dangerous ignorance can be.

"I will give you every detail about anything you want. But I'm not going to be your eyes so I can watch you get hurt or killed." Arthur doesn't get to put that guilt on anybody else, even if that's not how Arthur sees it.