If you fail, if the Tesseract is kept from us, there will be no realm, no barren moon, no crevice where he cannot find you.
You think you know pain?
He will make you long for something as sweet as pain.
Surely the Chitauri's threat will come home to haunt Loki sooner or later. Perhaps in
Thor 3? The promised retribution may be the real reason why Loki faked his own death in
Thor 2 rather than it being simply another powerplay for the throne of Asgard. Now that he's out of prison, Loki needs to disappear before the Chitauri track him down. Posing as Odin gives him greater strength and a much better life than being a fugitive on the run. Plus Thor is there to defend Asgard if the Chitauri attack.