In The Avengers: Age of Ultron, we learned that Loki's scepter is powered by
an Infinity Stone (Mind Stone).
Thanos is in pursuit of all six Infinity Stones to conquer the universe. In the mid-credit scene of The Avengers: Age of Ultron, we saw
Thanos wearing his Infinity Gauntlet glove which had empty slots for Infinity Stones.
Why did Thanos give such a precious thing to Loki? While it could turn out to be useful, it wasn't a 100% necessary thing. And, we now know that
he lost the only Infinity Stone he had.