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In The Avengers Captain America and Iron Man find out that S.H.I.E.L.D plans to use the Tesseract to make weapons.

Fury blames it on Thor, telling that the incident that happened in Thor made them realize that they are ridiculously out gunned and not alone in this world.

Why didn't he feel that after the Captain Marvel movie incidents?

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Because there was no major incident after Captain Marvel till Thor.

This is why Fury didn't feel to speed up Avengers Initiative or making weapons using Tesseract. However, Fury never stopped looking for superheroes for Avengers Initiative.

In the end-credit scene of Iron Man,

Tony Stark: Who the hell are you?

Nick Fury: Nick Fury, Director of S.H.I.E.L.D. I'm here to talk to you about the Avenger Initiative.

Neither he stopped making weapons using Teserract.

Bruce Banner: I’d like to know why SHIELD is using the Tesseract to build weapons of mass destruction.

Nick Fury: (pointing at Thor) Because of him.

Thor: Me?

Nick 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, out-gunned.

Thor: My people want nothing but peace with your planet.

Nick Fury: But you’re not the only people out there, are you? And, you’re not the only threat. The world’s filling up with people who can’t be matched, they can’t be controlled.

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    One interpretation of the phrasing could be that he knew we weren't alone, but didn't really know how badly "outgunned" Earth was. He might have had hope that we were on par with the rest of the universe. Of course he could just be making excuses. It's pretty clear Nick Fury is a skilled manipulator willing to bend the truth till it looks like spaghetti. – Booga Roo Apr 3 at 12:52

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