The line is "The humans think us immortal. Should we test that?"
Loki knows that Asgardians are not immortal. He grew up there and is quite aware of the previous Asgardian deaths, their legends and prophecies. He also knows about how much damage it would take and I'm sure the cage could deliver it. Loki was sure that Thor was going to die and was twisting the knife. Perhaps "sure" is a little to strong, it might be more he hoped that Thor would eat it when the cage cratered since Loki was aware that it wasn't a perfect deathtrap for a flyer.
Thor knew it, too. Otherwise he would have ridden out the freefall and slammed into the ground, then picked up his hammer and grabbed the quinjet Loki was using to escape. Thor barely escaped that trap with his life and didn't escape without injury.
@DavidStratton is correct that throwing Thor from a plane would do nothing as long as he possesses Mjolnir. If you could keep the hammer (and thus his power of flight) from Thor, I have no doubt that he would turn into a smear when he hit the ground. As long as he has Mjolnir, he can always "roll with the blow" and mitigate some, if not all, of the damage.
This answer applies only to the movie universe Thor. The comics universe Thor has been swatted from the air to the ground before and got back up. The terminal velocity or Thor's falling body doesn't produce enough force to overcome his godly damage reduction and result in death, although it is enough to make him bleed. It would take multiple drops to kill him.