I've done a little research regarding the collector, and he's supposedly one of the most powerful beings in the marvel comics universe. If that's the case, wouldn't the orb have been safe with him? Why did the guardians feel like they had to take the stone someplace else when they could have left it with such a powerful being and gotten paid? The aether seems to be safe with the Collector, and the asgardians seemed to think it was safe to leave the aether with him, so why couldn't the orb have been left with him?
From my point of view, the obvious answer is the Collector just had his whole collection blown to smithereens due to the infinity stone. Obviously he is not able to control the destructive power of the stone. Seeing as how it was too much for him, they needed to leave it in other hands. I would also wonder at this point if the Asgardians might want to rethink their leaving things with the Collector as well ... he's not quite as dependable as previously thought.