Loki's Real Red Cape Motivation

At first, Thor's red cape was around them both.

[by shin, found here]

Then Loki wrapped himself in it like a blanket, saying he was cold. Which is not an unusual condition for a Frost Giant, so Thor thought nothing of it.

[by Athew]

But later, Thor couldn't find his cape anywhere. It had seemingly vanished.

[by Texts From Asgard]