In the opening it is recommended that you develop you pieces towards the center, especially the knights which are much more active there than on the edge. So 2...Nf6! is better than 2...Nh6?
Notice that the knight on h6 cannot go anywhere but back to g8: g4 is controlled by the Qd1 and f5 by the Pe4. True, you protect f7, but that pawn is already protected by the king (3.Bxf7?? is bad in any case because of 3...Kxf7).
Moreover the Nh6 will soon be attacked by the Bc1 (after d2-d3 or d2-d4) and an exchange on h6 would spoil your pawn structure after you take back with ...gxh6. It becomes quite risky to castle short because the isolated doubled pawns on the h-file are not a good shelter for your king.
On the other hand, from f6 the knight attacks the Pe4, controls d5 (to prevent White from using that square, or to push d7-d5 later), will be a good defender of your king after you castle. It also stops White from reinforcing the attack against f7 (no Qh5, and Qf3 is blocked from eyeing f7) if that's what worried you.
All in all, 2...Nf6 is a much better move than 2...Nh6.