In Norse mythology, everyday, the Aesir (except for Thor, who had to cross the rivers instead, because he was worried that his weight or thunderbolts might destroy the bridge) travel across Bifrost to Urd's well to hold a counsel. The bridge was made from three elements: fire, water, and air. The fire is there to keep the unworthy mortals out.
Heimdall stands at the bridge, keeping watch for frost giants, because it is the only way for them to enter Asgard. If Heimdall were to blow his horn, it would mean the start of Ragnarok, where the frost giants and Surtr join together to destroy the world.