When he invaded Earth the first time, he stole the Space Stone, The Tesseract, to open a portal. To aid Thanos in his quest to acquire all of the stones. When I took him back to Asgard, our Father hid the stone in the vaults to remain in our protection.

[Thor explains slowly, easily.]

When we made the choice to destroy Asgard, I sent Loki to the vaults. It was the last place he saw before Surtur set everything aflame.

[With that aside, he asks:]

Without the Tesseract, what value would we have to Thanos? We were a few hundred people on a stolen ship, floating through space, looking for refuge. We wouldn't be worth his time, not without something he wanted.