Steve follows, though he does recall where he is. 'Nightmare' is the name of the town, after all, and while this doesn't happen to match any of his particular nightmares, he did ask around enough to have an idea of what he might expect. The fact that the wolf stole his hat and that the wolf seems to be leading him somewhere?

Well, he goes, because he's still Steve Rogers, but he's glad that he's got his good boots on for the moment.