I remember a few years back, after the first Avengers film came out, there was a very popular fan theory (which many people were certain was actually true) that Loki "lost" on purpose, and that what happened in the end was exactly what he wanted.
Here's one place where someone explicates this theory (and there were probably others, at least at the time).
I haven't watched many other MCU films. Did this theory turn out to be true in the end?
No, this is actually made somewhat explicit in the new Disney+ series Loki. In it a variant Loki is captured by the TVA and he tells them that he wants to rule Earth because it’s what he is owed. He wants to rule Asgard as well but as he was born to be a king he just wants to rule anywhere.
Mobius: Should you return, what are you gonna do?
Loki: Finish what I started.
Mobius: Which is?
Loki: Claim my throne.
Mobius: You wanna be king?
Loki: I don’t want to be, I was born to be.
Mobius: I know, but king of what exactly?
Loki: You wouldn’t understand.
Mobius: Try me.
Loki: Midgard. AKA Earth.
Loki, Season 1 Episode 1, “Glorious Purpose”
On top of that to poke a few holes in the theory’s we learn that the Infinity Gauntlet we see in Thor is actually a fake.
Hela: Fake! Most of the stuff in here is fake. Weak! Smaller than I thought it would be. That's not bad. But this... the Eternal Flame. Want to see what true power really looks like?
Thor: Ragnarok
I think it’s also clear from when we see Loki in Thor: The Dark World that Loki did not win in The Avengers. He’s mostly given up when we see him and only escapes due to an attack on Asgard.
Lastly, we know that Loki knows of lots of secret ways in and out of Asgard. If he really wanted to sneak back in he’d use one of these ways rather than get captured and be put in a cell that he’d have to escape at some point.
