They had the tesseract, but had a slight issue. Thor had no idea how to open the portal. Selvig barely remembered anything that happened whilst he was under the scepter's influence, and they can't rely on Thor's all powerful dad because it appears that all powerful people also have limits too. The Rainbow Bridge collapsed, and so now their best option is to Interrogate Loki until something is figured out, and hopefully figure out how he opened the portal in the first place.
The interrogation takes place, the Avengers all watching, but it would seem as though there are certain details that Thor really negleclted to mention. Everything comes to a head when, on a simple mission turns almost disasterous as Thor looses his memory, and the Avengers are privy to just how much Loki has truly dealt with in the last thousand years...and they almost feel a sort of sympathy.
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