Rashi: He was ashamed to request a chariot and cavalry, for we already told the king that Hashem benefits those who seek Him, and pours his wrath on those who abandon Him.

Malbim: It is proper not to rely on miracles! Even though Sheluchei Mitzvah are not harmed, this does not apply when there is danger! It was proper to request soldiers! However, since they said that Hashem's Hashgachah Pratis miraculously accompanies them, he was ashamed to request this from the king. He requested from Hashem.