Natasha doesn't say thank you for the same reason that he doesn't actually say I'm sorry: it'd both say too much and not enough, and they are both good - most of the time - at reading what the other doesn't say.

Partners.

Still, she gives him one of her flickering, slightly wry smiles and laughs a little breathlessly.

"Well. I can't exactly let you run around on a spaceship by yourself, Rogers. Where's the fun in that?"