After Thor destroyed the Destroyer in the Thor movie, Thor and the company moved to the so-called "Bifrost Site" (where Bifrost was opened previously in the movie). Why couldn't Bifrost be opened in the small town where Thor beat Destroyer?
After the Destroyer is destroyed, SHIELD agents arrive and our heroes are taken to the temporary SHIELD base (e.g. at the Bifrost landing site), presumably to be debriefed. The order of events in the film is slightly different from the original script.
The original script sheds a bit of light on the order of events. I've edited for brevity and clarity
Thor smashes the Destroyer to the ground in a tremendous heap, the fiery energy within it extinguished forever. Jane and Thor's comrades, now roused, stand to join him.
A battered Coulson approaches with several SHIELD AGENTS-
COULSON : Donald... I don't think you've been completely honest with me.
EXT. BIFROST LANDING SITE (EARTH) - DAY 137
Thor, Jane, Darcy, Selvig and the other Asgardians stand in the desert with Thor, Coulson, and several SHIELD AGENTS.
In the movie, the running order is slightly different. After defeating the Destroyer, Thor offers to "show [Jane] the bridge that [he] spoke of". He and Jane fly off to the most recent Bifrost site (the one that the other Asgardians just arrived by) with the others trailing behind in her camper van.
From his expression and plaintive look, it's pretty clear that he's expecting Heimdall to simply beam him straight back up to Asgard, presumably because using the same site means that he wouldn't have to recalibrate the position of the bifrost bridge.