Since the beginning, you told him you weren't afraid. You weren't afraid of him, his arm, his past, his night terrors, or his mood swings. You just weren't afraid. It's why the two of you ended up being so close. Bucky didn't walk on eggshells around you, you were the person he could relax around. Sometimes he didn't even feel that comfortable with Steve. With Steve, he sometimes felt pressured to be like the old Bucky, but with you, it wasn't like that. You didn't know the old Bucky. You only knew this one. From the moment he came to the tower and you made fun of him for 'being all broody' he knew he could relax with you. You just seemed so relaxed. Not afraid of him at all, despite everything. It didn't matter to you that he was the Winter Soldier. He relaxed so much around you that he found himself considering you a friend. Which became a best friend, and then maybe something more. That terrified him.
You still stole food off his plate. Mocked him before he had his coffee for being "grumpy". Sat with him in silence after a particularly bad mission. Even defended him till you were blue in the face to anyone and everyone who dared to say anything bad about him. You were just amazing, and that scared him a little bit. Not you, though, you were completely unafraid.
When the night terrors got bad and he told Jarvis not to alert Steve, you took over. Without him asking. You weren't afraid of him identifying you as a target but instead, you were just focused on calming him down. He was scared to admit that your presence kept the nightmares away. Your small hands tracing soothing patterns on his back eased him from those horrible dreams. With you, he got the most peaceful night's sleep he's ever gotten. When Steve tried to tell you it was unsafe to be with him during night terrors you unabashedly told him that "sleeping with Bucky helps me too." Bucky just wasn't brave enough to tell Steve that he couldn't sleep without you.
You weren't afraid to take on an opponent three times your size either. Bucky was afraid for you sometimes…which is why he asked to be paired with you on missions. You just thought it was because you worked well together, which is true but Steve knew the real reason. He tried to tell Bucky you were fine, but when Bucky watched you charge at a man that was two feet taller than you and had two hundred pounds on you without even blinking he demanded to be partnered with you. Even if it was just for his own mindset.
You were just so unafraid of life which amazed Bucky. He knew your life hadn't been a walk in the park. What Avenger's had? But even Steve had emotional reservations. Not you, though. You weren't afraid to tell anyone how you felt. He watched in amazement as the notorious Black Widow smiled fondly at you after you told her you loved her. Or how Tony got caught off guard by words of reprimand when he took his passive aggressive arguments too far. Or how Bruce relaxed completely around you and laughed freely. Or how you wouldn't hesitate to crawl into his bed and just say "I had a bad day, I need a friend." Bucky wasn't sure he met anyone who was so honest and open about their feelings. It scared him to think that he wanted to be more like that.
You weren't even afraid when Steve told everyone to suit up in the middle of movie night. Bucky could feel that something wasn't right and when Steve told him he felt the same he was scared. He didn't want you on that mission. He didn't want any of them on that mission but Steve couldn't say no and you never said no to a fight. To you, it was just another day on the job, and it was. A routine job. The team was going to clean house like they always did. Bucky just set his jaw though and went over the plan with the team. Nat would be in and out, you and he would be back up. As soon as the carrier touched down though he knew that it wasn't a normal mission, it was a setup. Everyone jumped to action, you were both immediately bombarded with Hydra agents. After a while the two of you got split up, but he wasn't afraid for you, he knew you could hold your own. So, he focused on the fight.
Which is why he didn't hear your yell for him to watch his back.
He didn't hear you screaming his name.
He didn't hear the gun go off.
He didn't hear Steve yell your name.
When he turned around and saw the blood painting the snow underneath you crimson he didn't hear anything.
When he lifted you up into his arms and began to rush you back to the carrier he didn't hear anything. Not the sound of your teeth chattering or his own voice telling you to stay awake.
When he held your hand on the way back to the tower he didn't hear the team around him telling you it was going to be okay. He didn't hear Tony telling Dr. Cho and Banner to be ready that you were hit and critical. He didn't hear him tell Banner that it didn't look good.
He didn't hear Natasha whispering a Russian prayer.
He didn't hear Clint begging for you to hold on.
He didn't hear Steve punch the wall.
He didn't hear his own mumbled words of comfort and pleas. What he did hear when your glassy eyes met his was your whispered words of "Buck I'm afraid."