I don't believe that a reason was ever given. However, in light of the other movies, I have a theory.
After the events in New York, SHIELD took the scepter for "safe keeping". Most likely under Fury's orders to determine its threat and other uses. Given that HYDRA had successfully infiltrated SHIELD at this point, the scepter was "lost" somewhere along the way. Either that, or HYDRA took advantage of the events in Winter Soldier to steal the scepter. Although, I believe the first is more likely, seeing as how Strucker had been experimenting on folks for a while. But, it probably wasn't until after SHIELD/HYDRA collapse that it was realized to be missing. This could be done by sending falsified reports about anything going on with the scepter. Again, since HYDRA was at all levels of SHIELD, this would have been fairly simple to do. Especially since the head of SHIELD himself was HYDRA.
Sadly, this would have made a great Agents of S.H.I.E.L.D. episode, and they missed the opportunity. There was pretty much no lead up to the fact that HYDRA had the scepter, except for the tiny credits scene for Winter Soldier.