In The Avengers Fury explains that the reason why S.H.I.E.L.D was making weapons with the Tesseract was because of Thor's fight with The Destroyer and the sudden realization that there were aliens and that Earth was hopelessly outmatched.
Bruce: I'd like to know why SHIELD is using the Tesseract to build weapons of mass destruction.
Fury: Because of him. (pointing at Thor)
Thor: (STUNNED) Me?
Fury: Last year earth had a visitor from another planet who had a grudge match that leveled a small town. We learned that not only are we not alone, but we are hopelessly, hilariously, outgunned.
Source: IMSDb - The Avengers
However in Captain Marvel, which takes place before Thor, Fury met aliens and saw what they could do where Ronan was about to bombard Earth from orbit and was shot at by 2 Kree ships.
Now while we know that production wise Thor was the first film showing Earth's "interaction" with a species from another world but chronologically wise it's not. So is there a lore based reason why Fury blames Thor for showing how outmatched earth was to the rest of the universe?