When it comes down to it, Steve can't save Bucky, but he can't kill him, either.
He takes a third option.
The others side against him. They threaten Bucky's life, tell Steve they can't let him keep going like this. SHEILD and HYDRA agents (same difference, these days) are dropping left and right, and the Winter Soldier pays no heed to who gets caught in the crossfire. And Steve doesn't stop him.
Barton is the only one who even half understands. He knows what it is to want to save something that, perhaps, cannot be saved. But when it comes down to it, when the bodies still pile up and the bloodshed continues, even he says, "He's not Bucky any more, Cap. Not your friend. There's nothing left in there but a soldier, and he isn't on our side."
But Steve remembers, still, that Bucky had the chance to kill him, and he didn't. He could have; everything programmed into him by bad guys with genius brains told him to.
And he didn't. He pulled Steve out of the water.
As far as Steve is concerned, they're still on each other's side, and Steve isn't going to let anyone near Bucky.
It isn't the first time Steve chooses his best friend over the rest of the world, but it's the first time he makes the rest of the world – the Avengers, SHEILD, anyone who stands in their way – his enemy.
He knows the others will come for them, that when they are done fighting amongst each other and debating what to do, one of them will make the final call, and there will not be mercy.
And if (when) it comes to that, Steve and Bucky (the Winter Soldier, James, it doesn't matter when you get right down to it) won't, either.