Because, to me, it seemed like the implication was that Bran was the Night King's biggest concern, someone with magic powers who knows everything about the White Walkers and how to defeat them. I might be wrong tho-- but that scene definitely seemed to imply that Bran's possession of the universe's knowledge was the most dangerous weapon in the Seven Kingdoms.

Also he's totes gonna blurt out to Sansa that Jon isn't really his brother, that he's a Targaryean. lol. Classic Bran.